It's not something we can solve on the Spine end since this is just how rendering in Unity (and modern GPU accelerated game engines in general) work. Alpha is applied immediately as each triangle is drawn, not after everything is done.
One way to solve this is to composite your individual skeleton separately; having its own Camera render to its own RenderTexture/Texture2D at full alpha, then blit that with your desired alpha. It's unfortunately very pipeline-setup-specific and we can't include a solution in the runtime, as far as I know. I'm not even sure of all the details, but know that this isn't specific to Spine (ie, you can probably search for solutions for "alpha on 2D sprites without seeing joints" or something)