Years ago.... I had a OW into Mexico on AA. I called to make a change and the agent gave me a hard time because I did not have a return. I explained we were flying private back and that seemed to calm her concerns.

I have read stories that at departure check-in sometimes US airline agents will give a passenger a hard time because they do not have a return. But I have not seen any recent stories about this. And since my incident years ago I have flown dozens of times on a OW into Mexico with never a blink.

Since you will have a return, just on another airline, print out a copy of that return... if they give you any question...that will be proof enough of your intent to return to the US.