Something is a bit funky. If cheaper fare classes are available then U should generally be available too. Are you willing to share what flight you're trying to change it to so that we can take a look? All three ORD-LHR flights on June 15th currently have availability in U (at least with a US point of sale--it could theoretically be different with a European point of sale). At a $3,500 premium, it sounds like only Y or some business class fare classes were available for whatever you searched, but I'm not sure what it was.

As findark said, if you try to cancel you'll almost certainly get nothing back as your outbound will re-price as one-way and the one-way fare is more expensive than your roundtrip, so it's probably worth it to find a return trip that works as a roundtrip/open jaw with your previous outbound.