Multiple header rows and colspans using dynamic creation example

Is there a way to pass in multiple header rows and add colspans while using dynamic creation rather than having DataTables read from the DOM? I'm trying to optimize rendering of a very large table (20,000 rows) and I feel that feeding in the data directly would have a huge gain in performance. I'm just not sure if that is already supported, or if support would need to be added by a plugin.

Best
Michael