The workflow will depend upon the software you are using for the various components of the process.
In general, as you have sketched, you can do the HDR merge on each pano segment and then stitch the merged images; or, you can stitch each exposure level and then merge the panos to create an HDR data set.
If you use certain software, you can do everything in one application, without the fuss and muss. For example, in PTGui, you can load all of your images, N images per pano segment x M segments, and let PTGui do the merge and stitch with a full HDR workflow. If you are using large files this can be quite taxing on your computer and may make the process less interactive than it can be for making stitch tweaks etc.
A more interactive approach is to use an HDR program that has batch processing capability to do a preliminary HDR merge of each segment and output a small, tone mapped LDR JPEG. This set of small LDR JPEGs can be brought into the stitcher to make a nice clean stitch, permitting the user to adjust control points, etc. interactively. Once the stitch is made, you can save the calculations, warping, control points, etc. as a template and swap in the full res images for the final stitch.
PTGui permits the workflow and it is terrific. Once you have a nice clean stitch, you can be assured that the stitch will be replicated exactly the same - so, for example, if you don't like PTGui's HDR merge, you can stitch each exposure level pano separately with the same template in PTGui and then merge those panos in your HDR application of choice, knowing that each stitched pano has be made with identical distortion corrections, etc. Or, you can accept that PTGui's HDR merge is pretty good and you can take the HDR output from the batch HDR processing you did previously to get the small LDR JPEGs (you did save a 32bit HDR version as well as an 8 bit LDR version of each segment, right?
) and use the template to stitch the HDRs together. Then you can have PTGui output a 32bit panorama that you can take elsewhere for toning.
Lotsa options, but you need dedicated software to get the results. PS may give you good results, but with not a lot of control and lots of frustration - it depends on the scene and the extent of your panorama.
kirk