That happened when I flew SEA-YVR-BKK last year; the canada customs guy told me it doesn't make sense that I start in the US, I told him it saves me $1500. He told me it's impossible because I am flying further with SEA-BKK. I challenged him that I can ask AC to price one out and show him if he doesn't believe me, then he just shutted up.

On the return trip BKK-YVR-SEA, US Customs didn't care when I told them at YVR that I was just picking up the car and then coming right back.