Here is an HDR of my daughter playing piano just now:
This image was made from three exposures (-2, 0 and +2) in Nikon RAW format. I used LR6 which and did not convert RAW to any other format. When I opted to make an HDR LR did the format conversion for me - it converts data from the three RAW files (which looks like a crappy mosaic) to three DNG files (based on TIFF) and then combines the images with the result being a DNG (or essentially TIFF) file.
Was I able to make an HDR file from three RAW files? Yes. Did I need to convert them from RAW? No, not actively. Did they need to be converted from RAW to make an image which looks "real" and not like the Bayer grid image from my sensor which was stored on the SD card? Yes.
Too bad the OP has abandoned this thread...
Michael