If you don't actually fly any segment in the order issued, UA will cancel the remainder of the itinerary. You will then need to purchase a walk-up ticket for the remainder of the itinerary which you still need, in order to get home.
That price will only be higher than what UA is quoting you today to make the change.
Too late for OP - but a cautionary note for others. Don't ever buy non-refundable tickets to any location for which you don't hold a valid visa unless you absolutely know that one will be issued. It's your sole responsibility as a pax.