There is endless discussion of this very point in the BA Forum - just search ex-EU. Broadly, you cannot skip the first flight under any circumstances at all. But you can skip the last flight. Your luggage will be checked through to OSL, so either you need to overnight on the return at LHR (when they will allow you to pick up your luggage for the overnight), book the LON-OSL flight out of LCY or LGW if such flights exist, so that you are forced to pick up your luggage, or go Hand Baggage Only and simply walk out of the airport.

Presuming this is on BA, there's pretty will zero chance you will be routed through an airport other than LHR without you being able to prevent it.