There are actually quite a few flights like that. BA does, or not too long ago used to, fly San Diego to London with a stop in Phoenix. Aside from the benefit of being able to pick up passengers in both places, the San Diego runway is too short for the aircraft to take off with enough fuel to reach Europe. Taking on a full fuel load in Phoenix solves that problem.

I think there's also a LAN Chile flight from JFK to Santiago that stops in Miami.

I don't think they can stop someone with no checked bags from buying a ticket to Santiago and getting off in Miami (or the equivalent on any of the other flights like this), but it's an expensive way to get there.