I do this fairly frequently and it has never been a problem ( but yes it can be expensive). The only time anyone has mentioned it was flying BA from Gatwick to Belgrade. The checkin agent said that she needed to see a return ticket as the visa I had required proof of on onward travel out of Serbia. I showed her my Swiss ticket which in fact was from Tirana as I was flying from Belgrade to Podgracia and then driving down to Tirana and she was fine with that.