Both devices support tethering to a PC via USB but, according to customer care at Samsung NZ, it is not possible to tether the phone to the tablet (or vice versa) with USB, only via wireless or Bluetooth.
I find this a bit strange.
I looked around for a cable to connect the two devices so that I could test this, but it looks like Samsung does not supply such a cable.
It may be possible to rig a cable using the cables supplied with the devices and a USB adapter??