I learned today that this technique is called Drilling Across:
Drilling across simply means making separate queries against two or more fact tables where the row headers of each query consist of identical conformed attributes. The answer sets from the two queries are aligned by performing a sort-merge operation on the common dimension attribute row headers. BI tool vendors refer to this functionality by various names, including stitch and multipass query.
Sounds like the naive solution above (query multiple fact tables in parallel and stitch together the results) is also the suggested solution.
More info:
- Drilling Across - Kimball overview article
- http://blog.oaktonsoftware.com/2011/12/three-ways-to-drill-across.html - SQL implementation suggestions for drilling across
Many thanks to @MarekGrzenkowicz for pointing me in the right direction to find my own answer! I'm answering it here in case someone else is looking for the same thing.