In fact this is done sometimes for milage runs (ie flying just to gain status miles on extremely cheap fares) in the USA, where on several occassions adding a Canadian city as the last destination cuts the price significantly. People just hop off in the last city before their to Canada segment, lose the miles only for the last segment, but get a really cheap ticket for everything else.

As potfish says, this is against (at least in all I've read) the terms and conditions of purchasing the ticket, however that really doesn't matter.