Text Styling - Nested?

If your header always has two hard returns before it (and no other paragraphs do), you could do a GREP search that looks for a single capital letter + period + two one or more spaces + any string of characters, preceded by two hard returns (using the "positive lookbehind" GREP).

Find what: 

(?<=\r\r)(\u\.)(\s+)(.+)

Change to: 

$1 $3

[Insert whatever number of spaces you want between $1 (the letter and period) and $3 (the rest of the text).]

Change Format: [Select the paragraph style where you've defined the bold font.]

However, the best practice would be to adjust the "space before" attribute in the paragraph style, rather than using double hard returns. To remove the double hard returns in the same search, edit the search to the following:

Find what: 

(?<=\r)\r(\u\.)(\s+)(.+)

Change to: 

$1 $3

[Insert whatever number of spaces you want between $1 (the letter and period) and $3 (the rest of the text).]

Change Format: [Select the paragraph style where you've defined the bold font and the space before.]