I just did this 10 days ago. My partner and I were returning from DEL and were ticketed DEL-ORD-MIA on the same PNR. I needed to get back to NYC the same day and avoid a detour through MIA. I just told the lady at the FL that I had to cancel the last segment of my trip because I needed to be in NYC that morning. No problem. She split our PNRs and canceled my last segment. My partner went to MIA and I went to LGA. No muss, no fuss; just the cost of a OW ticket ORD-LGA as SAT Lawyer pointed out.