Don't know if it's possible to do right out of the box. I'm interested if someone's figured it out.
If JMP can't do it natively you can reverse engineer it using the Excel XML 2003 format. We do this routinely with PL/SQL. What you do is create a sample 4-tab Excel spreadsheet in Excel, and then save it as an XML file using the following format: XML Spreadsheet 2003 (*.xml). Don't use the XML Data (*.xml) format as that requires XML mappings.
Next you use JSL to output an ASCII file that has the exact format of the file you just created. Of course the cell contents will be different, but the result will be an XML file you can double-click to open in Excel, that contains the four tabs you require. It's somewhat complicated the first time you do it, but once you get the hang of it it works well.
One thing to watch out for - in JMP 8 and 9 when you save a dataset as an Excel file (*.xls, *.xlsb), JMP will truncate cells containing more than 256 characters. This is because JMP is using ODBC to do the export, and it's a limitation of ODBC. It would be really great if JMP could overcome this limitation.