In my experience the companion is a red herring here. I believe that is simply checked by the check-in personnel; the infant's ticket can be issued irregardless. The real issue is that the infant ticket is simply a discount off a regular, published fare.
So, for any legs you want to ticket, some fare basis has to apply. I see no reason why you couldn't buy the infant ticket for the RT you describe, regardless of how the parent/companion is ticketed. As long as someone is in the cabin with the child, should be fine. IME the records need to be linked, but not in the same PNR (a common example is an award ticket with a paid infant). I would HUCA on this one.
That said, I've never done precisely this with AA, so it is possible there is a real system limitation (i.e., the ticket actually has to go in the same record), but I have not seen one with other airlines. More to the point, most airlines cannot combine records after they have been ticketed, so it would be unusual that another passenger's ticket could be added to an existing record after the first one is ticketed.