This might be kind of a hack, but here's what I was able to figure out.

In the root of the website there is a siteanalytics.config file, if you put this line of text in (after the _trackPageView line)

_gaq.push(['_setDomainName', '[PAGE_URL]']);

Then go to the Admin/Google Analytics page and put in subdomain.mydomain.com in the URLParameter setting that will insert the proper value into the analytics for your site.

I would recommend testing this though, I just played around with it quickly.