Each airline fare comes with "routing rules" that indicate what routes are legal to be used for connecting cities. For example, if I want to fly United from Philadelphia to Europe, it would let me connect through Washington or Chicago, since those are the "logical" connecting cities. I haven't tried it, but I would expect that it would not allow me to connect through San Francisco, since this is kind of an illogical connecting city. If I tried to buy a ticket from PHL to SFO to Europe, it would probably price it out as a one-way to San Francisco and a one-way to Europe. I expect this is what you are finding with your multi-city search.

(Routing rules used to be pretty easy to find, but they are not so easy to find any more - they are available through some subscription services. One of the "holy grails" of the mileage runner is to find some routing rules that allow for some strange connections... there was one a few months ago that allowed travel from San Francisco to Australia by way of Honolulu then LA to Sydney. These may or may not be mistakes, but they provide a nice way of accomplishing your goal in your original post.)

If routing rules are not easy to find directly, the ITA software can be helpful in identifying some connecting cities. You can use the ITA tool and specify that you want to travel between two cities and use (for example) four connecting flights. Just be cautious about connections that add no value... adding a connection in STL on a flight from PHL to LAX may not add enough miles to make the stop worthwhile... adding PHL as a connecting point between STL and LAX is better from a mileage running perspective.

Welcome to FT!