Arbitrary subpages

I am running into a client request that I have not found a good solution to. They would like to be able to create an arbitrarily deep subpage without having to create the parent pages first.

I.E. they want the permalink to be foo.com/bar/baz/thing, without having to actually create a bar and baz page.

I have tried to edit the page permalink filter to not removes slashes, but that does not seem to work. Has anyone run into this?

Thanks.