Since these are premium (refundable) tix not requiring a round trip, you can buy separate ones for each direction. For openers, one way premium segments from most European destinations back to the USA are significantly less expensive than the outbound segment. If you no show the originating outbound segment, your connect will likely cancel out of LAX. At the least, you will be noticed, and they may want to visit with you about rewriting your ticket at a much higher fare. If you can find a travel agent willing to do it, they could write the ticket on the foreign carrier you would use on the "phantom leg" to Madrid. If it were done right, each carrier would only see their respective leg, hence any one no-show segment would not kill the other legs. It probably would also help to change airports for the phantom connect (e.g.into LHR out of LGW) so your baggage doesn't make an unscheduled trip of it's own. Same deal on the return, which would be on a separate reservation (probably terminating in a Canadian city for the unused leg...those fares are also much cheaper). My guess is there aren't many agencies that would write such a ticket, and if you get caught somebody will get the bill. Try flying lots of miles and using a reward. It's a lot less nerve wracking.