What I am trying to do:
I am trying to create nested groups but I want the sub row group to show directly underneath the parent, flush to the left like the parent.
If I understood your question correctly, what you want is certainly possible, and it's certainly a pain to get it to work. Here's a small example with some mock data that should be more or less analogous to your situation.
The dataset:
Market SubMarket
------ ---------
A 1
A 2
A 3
B 4
B 5
B 6
B 7
Here are the steps I've taken to create the table:
Drag/drop a new, fresh table to the designer.
Drag/drop the SubMarket
field to the first column.
Right-click the detail row and add a new parent group.
Group on Market
and choose to add a group header row.
As you've already noted, SSRS "helps" and adds an extra column.
Right-click the extra (first) column and delete it.
Select the cell in the header row for the group and enter "[Market]", or pick it from the quick-list.
Finish up by filling in the other fields/columns/cells. For the header row drag/drop won't work, you'll have to pick the fields for that row yourself (or type 'em).
This is the resulting table in preview (with some emphasis on the header row):
Hope this helped!