Few thoughts:

a) Could you sign up for the MileagePlus Explorer or Chase Sapphire Preferred cards and use the signup bonus miles to be able to afford the return? That would be the least cost out of pocket.

b) Could you downgrade from Global First to Business and then be able to afford business seats round trip?

c) You could book a round trip, just make sure that you book it so that your first flight is the one you will be on, as UA will throw away the other segments once you don't show up. This may also run afoul of ticketing rules so be careful. You could play with city pairs (maybe something like Europe - LAX, IAD - Europe) to see if you can bring down the fare a bit as well. You could also call in and see if you can book only the segment you want to upgrade in W and the other segments in a lower fare class.

d) Have you checked Lufthansa as well? You could use a GPU on them.