This is known as throwaway ticketing and there is nothing to stop you from doing it, I've done it myself. HOWEVER, I have read that some airlines will close a passenger's frequent flier account and confiscate all previously earned mileage for engaging in this practice, so if you're going to do it, make sure you don't give them your frequent flier number if you have one or you may be hearing some bad news from them at a future date.