I called CO. They said they can't give me a stopover in MCO because it's not a "stopover airport" on the way to NYC. I asked if they could even route me through MCO to NYC, and they said no.

I wanted to travel the whole trip in F, but I guess what I'll end up doing is getting the SAT-MCO RT ticket from Southwest, and I'll get the MCO-NYC RT F ticket from CO, with miles.