You are likely aware that the seat headrests are "active" in that they are loaded to spring forward in the event of an accident so as to minimise whiplash potential.
I've not seen any WK2's in my travels with headrest covers, but I have seen a couple with sheepskin on the seat body so they must be around - with only a brief look I did assume they were a full cover.
Good luck with finding them, someone may be along in a minute - but in the meantime here is a link to the interior trim removal .pdf that includes the headrest removal you asked for.
Jeep Grand Cherokee WK2 - Interior trim removal
Plenty of other good info over at wk2jeeps as well if you browse around.