Call and check on the change. While you can't go from a connection to a non-stop, you can change the routing, as long as the new routing is legal. I do it all the time. For example, I'll change MSY-ATL-LGA to MSY-MSP-LGA.

I always call before I check-in for the flights since it's easier for the CSR if they don't have to go through the extra steps of un-checking you.

If they do it, I'd recommend flying the entire route and not playing the hidden-city game. Just hope for enough of a delay arriving at LGA so you can terminate there.