My buddy ran into a similar situation as OP, after missing an LAX-SEA flight, AA codeshare on AS metal.
He wanted to buy a WN one way ticket, but AA would NOT protect his return legs, saying that they would be canceled if he didn't fly AA/AS to SEA, so he was forced to pay for the change fee + fare difference, instead of flying WN one way.
Will AA/AS protect OP's return leg if s/he takes WN?