Even if they're in the same HQ unit, the odds of targeting the supply units is fairly slim. I assume they're marked as non-combatant, which lowers the chance of targeting. For the support fire to target the HQ unit, one of your other units has to target them, which assumes either their HQ isn't in rear echelon or you've already killed most of their other units (I don't recall off the top of my head but I'm fairly certain that in a breakthrough the support unit doesn't get to fire again), and if the element chosen in the supporting fire is artillery then ALL of the supporting fire for that attack targets that artillery element (counter-battery). In theory, yes you could kill supply units with LR and HB, but the chances are slim.