I have that web site bookmarked on all of my computers. It is a great reference. The part that surprised me was that I would not have expected a query to use up heap space. I did receive a direct e-mail through your site from someone indicating that MS Query does not like unions, but I do unions fairly regularly without issue.
I resolved the issue by not unioning the queries and just running them seperately, so it is more of a curiosity than a real problem.