If I understand you correctly you want to drop the final leg (FRA). You should be able to
tell the BA agent at LAS that you will collect your bags at LHR (they might as you why).
I am not familiar with there being and charge and cannot understand why it would be a
ticketing change.
Otherwise, book the ticket LAS->LHR->LCY->FRA and drop the FRA because you will have to
collect your luggage anyway as BA wouldn't transfer them LHR->LCY.
H