Let me add more info.
The PNS-DEN is on 1 Sept, and the DEN-SAN is on 16 Sept. I would assume that they "look" like two unrelated one-way tickets.
I'll try and book them separately, and see what happens. If I did that, it would double my 9/11 and facility fee.
However, Expedia wants $20 for the least expensive ticket delivery method.