Right now on usair.com ORD-PIT is $88 rt and PIT-LGA is $86.50 rt. Those figures include all taxes and you can fly pretty much any day you want.

So if you buy both tickets it's only $174.50 to go from ORD to LGA, whereas the cheapest ORD-LGA fare I can find anywhere (as a single itinerary) is more than $200.

Say I book ORD-PIT and PIT-LGA separately, allowing for adequate connection time in PIT -- I wouldn't check any baggage. Does US allow such nested tickets, and if not, what is the chance I'll get caught?