This is not at all uncommon and is called the "Hidden City" trick.

If you miss a leg on a trip, all remaining segments are cancelled. So you can book Saktatoon-Denver-Las Vegas on the outbound and then just get off in Denver - of course you can't check your bags. On the return, alas, you have to pay the full fare.

In some cases it can be even simpler, for example, flying YYZ-RDU, on the return you book YYZ-RDU-London, Ontario, but you can check bags because you have to get your bags in YYZ anyway and go through customs.

I do sometimes wonder why governments prop up businesses that do insane things like this.