Hi,
thanks for your post, and sorry for the trouble.
I see what you mean, but unfortunately, I’m not aware of a directly usable solution for that. Now, the external DataTables JS library does offer an approach for this, see https://datatables.net/blog/2014-10-22. TablePress itself does not bring this integration. Your best chance for using this is to directly call the DataTables JS library (and the necessary JS files) yourself on the page, by letting TablePress only deliver the HTML code of the table.
Regards,
Tobias