UK immigration is unlikely to give a monkey's whatsit about the fact that you're going to throw away the return half of a ticket. First, they're only going to see you on the way into the UK, not on the way out. Then, even if you get asked about the details of the flight on which you're going to leave the UK (which is a very big if compared to the usual "How long are you going to stay?"), you can just tell the truth, which is all they really care about. They're not revenue protection police for the airlines. And if you don't tell them about the throwaway return half of the Rome ticket, how are they going to ask about it?

If you're not connecting at either Rome or London when you fill in this gap, and you're still nervous about this issue, you could always look at the low fare carriers (eg easyJet and Ryanair) who sell all their tickets on a one way basis. (bmi also sell ex-UK tickets on a one-way basis but I'm not sure if that would hold for ex-Rome tickets.)