Big time no-no in my experience. Last November I was booked on DL SEA-SFO-ATL-TLV-ATL-SFO-SEA, and became ill on the TLV-ATL leg, so once through ATL Customs and Immigration, I asked if I could change to the non-stop ATL-SEA. I was willing to buy a new ticket for $900 walk-up rate, and the ticket agent refused on the grounds that it "would undercut my cheap RT of $1100." In other words, they turned down an additional $900 in revenue to "protect" the cheap fare. Foolish IMHO, but it just shows how serious the airlines can be about skipping or changing a trip once you have begun.

He acknowledged that I could exit the terminal and buy the $900 ATL-SEA ticket out front if I didn't mention that I already had ATL-SFO-SEA. There wasn't time for that, so I had to grin and bear it, fortunately with the assistance of some pharmaceuticals I had wisely brought along "just in case."