I have to confess that I'm not entirely clear on what you're saying.
Are you saying that the only way PS will work for you is if you do the HDR merge on the pano sections first then have AP create the panoramic from the tonemapped HDR images? If so, then yes that's one way to do it.
You've tried creating the panoramics using the bracketed images in AP and exporting the panoramics as separate image files (e.g., 3 panoramics each at a different exposure setting) then tried to create the HDR from those in PS? If yes, what problem(s) are you encountering?
Or are you saying you're having problems getting the images stitched as panoramics in PS? If this is the issue then that's somewhat understandable. The pano stitching in PS, while improved in CS5, still isn't as good as AP or some other dedicated pano stitching programs. Personally, I'd abandon PS for pano stitching.