You could always buy a cheap one-way ticket CPH-LHR, start your trip in London, and then skip the last segment (CPH-LHR) on your return.
Of course it makes no difference if you travel CPH-LHR or not at the end, just tell the check-in staff in PVG to only check you and your luggage to CPH.

You can not skip the first segment and start your trip in CPH.
The reason why most airlines have this rule is exactly to prevent what you want to do.
The competition out of London is extremely fierce with probably 2-3 airlines flying nonstop and loads of other airlines selling tickets via their hubs in Europe and Asia.
That's why prices are so much lower ex-LHR, while in CPH there hardly is no competition and SAS can charge higher prices.