Surely you can just use the Iif function in the calculated member since member caption is a text value.

I.e.

WITH

MEMBER [Measures].[ParameterCaption] AS

Iif([Geography].[State-Province].CurrentMember.Member_Caption = "All Geographies","All State-Provinces",

[Geography].[State-Province].CurrentMember.Member_Caption)

MEMBER [Measures].[ParameterValue] AS

[Geography].[State-Province].CurrentMember.UniqueName

MEMBER [Measures].[ParameterLevel] AS

[Geography].[State-Province].CurrentMember.Level.Ordinal

SELECT

{

[Measures].[ParameterCaption]

,[Measures].[ParameterValue]

,[Measures].[ParameterLevel]

} ON COLUMNS

,[Geography].[State-Province].ALLMEMBERS ON ROWS

FROM [Adventure Works];

Or failing that the parameter datasets generated by SSRS use a formula to indent the members and you could change the parameter caption here. Protip: you need to right click datasets and check "Show Hidden Datasets". In there you should see an SSRS calculated field named ParameterCaptionIndented. You can change the formula in here to do the replace.