The scenarios I see are these:

1) Try to book ARN-LHR-AUH-BKK-AUH-LHR
2) Book ARN-LHR-AUH-BKK-AUH-LHR // ARN build in departure following day to ARN) (or as long as possible connection)
3) Book ARN-BKK but at check-in tell them to short check to LHR only. Either they'll accept or try to change your ticket (then be prepared to fly)
4) Alternatively, when at LHR, tell them you won't fly last leg.

As I assume you're flying EY and either SK/BA, I don't think you'll have too big issues short checking.