You can't mix and match programs. You can mix and match airlines within the same alliance (e.g. CO, UA, US) when you buy the tickets, and pool the miles from the flights into a single program.

US doesn't fly to MGA but CO does (I think). Say it costs 35k US Dividend Miles for USA-Central America in Y. You call US Dividend Miles and say you want a award ticket RDU-MGA, and they will route you on Continental (via Houston, TX most likely, or EWR), or a mix of US/UA/CO domestically and CO between USA and Nicaragua.

You now have 10K US miles, you can either accumlate 25K more by flying/shopping/credit card application bonus, or buy 25K more US miles to reach 35K, or transfer AMEX points to US or CO (if they are partners of Amex) so you instantly have enough miles for a 35k ticket!

You can book CO/UA/US award tickets on CO's website - pretty convenient and it can be booked under anyone's name - good for family/friends, etc

Choose either US or CO as your primary Star Alliance program (personally I suggest US for now). AA is a solid complementary option.