The airline doesn't know or care if you buy a train ticket in France. The airline does care if you want buy a round trip from, say, Nice, but take the train (or make your own other arrangements, rent a car, whatever) from CDG to NCE. They will not let you do that. You will have to buy an open-jaw ticket, into CDG and out of NCE, probably at a higher fare. If you book CDG-NCE as part of your round trip but don't board that flight, the rest of your itinerary (your return from NCE to the States) will be canceled.