I don't think there's a way around that via the online booking system. If you could set LIS and FCO as the origin and destination of a single route (both in "Flight 1"), then you could make it work, but if you choose one, then the other doesn't show up in the available options. I can't explain exactly why this is so, it seems that some "intelligent" algorithm excludes airports that require an almost "closed" jaw (at least regarding western Europe), for instance if you set LIS as your departure basically everything west of Italy/France is gone, but you can still go all the way up north er even set Melbourne and Sydney as your destination. If you set Rome as your origin then more options open up, for example even Lille is available (but not Paris!) Tunis and Marrakech also show up, but again, no Portuguese or Spanish airports.
What I find surprising is that this issue is even worse in the award search engine, where Aegean's seasonal routes (or at least some of them) don't show up at all under "more options"!!
Anyway, I'd try to call and see if they can book that round trip as one ticket, but then I guess you'd need to pay the additional fee once or twice.
Is there any particular reason you need this to be on the same booking (you're doing a direct turnaround in FCO, are you?)?