You can’t do it.
Well you can hack it, but it is very unlikely to give you the results you expect as there are usually many settings that needs to be initialized when themes are used and since themes are rarly designed to be able to “run” in parallel with other themes you will have a collision of settings. In addition the header.php contains more the the HTML header and the HTML it produce have to be compatible with the HTML and CSS produced by the other parts, something that it is unlikely to happen between different themes.