You can certainly do this and there is nothing illegal about it. However, you will pay about 3-4 times as much as a direct fare between BDL and SRQ.
On the other hand, if you leave out the first and last segment, and just follow your itinerary from JFK-CVG-TYS-ATL-MCO, you can buy this ticket with a legal fare for the same low price as a direct flight from JFK to MCO.
The one other obvious thing to consider - what if one of your first flights is late and you miss a connection early in the day?