Hi Oded, I'm not sure I completely understand your use case, but do you know about the Web Requests - URI Pattern Value measure? It can be added to a Business Transaction as your splitting measure. You can split on the first part of the URI or use Regex for more complicated patterns if necessary. Let me know if this helps.
You can create a BT with a splitting measure of type "web requests - header value" and parse the "Referer" header (spelling is correct). Probably best to use a regex to extract just the domain name (and also exclude your own domain). You could do this at each level of PurePath, User Action, and Visit for different resolutions of data but there wouldn't be a way natively in AppMon to get the referring source for, say, a user's 3rd action.
Hope that helps,