I'm looking to visit a friend in Mexico for a long weekend.
I'm in NYC, so I have three airports at my disposal. Based on flight departure times for both NYC-CUN and CUN-NYC, it is most convenient for me to go JFK-CUN on AA and return CUN-EWR on Continental. On top of that the two one-way tickets are approximately the same price as a rt ticket on either airline's website.

Is there any risk of buying this way that I should know about before hitting "purchase"? I've only ever flown 2 diff. airlines on one rt to the extent that they were partner airlines and still booked together.