It's cheaper to get from ROC to MKE because people aren't willing to pay as much for tickets on that route as they are from ROC to CHI.

No, you can't buy tickets from ROC-CHI-MKE and get off in Chicago. If you don't get on your connecting flight CHI-MKE, they'll cancel your return trip entirely and you'll be stranded until you cough up a lot more money. This is called "hidden city" ticketing and none of the airlines will allow it.

(They'd also cancel if you were to fly all the way to MKE, then skip the MKE-CHI flight and try to get on the CHI-ROC flight. Not saying you would do this, as it makes no sense, but just FYI.)

The only time you can get away with this kind of thing is if you're skipping flights at the end of the itinerary. e.g. if you had round-trip tickets ROC-CHI-MKE, and flew all the way to MKE, you could, of course, just get off the plane at CHI on the return and skip the flight back to ROC.