I have noticed this as well. I suspect it's a way to 'gouge' more money out of long-haul pax. Actually, maybe that's a bit too cynical.
TG Domestic flights are priced mainly for the Thai domestic market to be purchased within Thailand. I suspect that adding the domestic flights to the international sectors, with the flights originating outside Thailand, are priced for the 'international' market.
Remember too that if LHR-BKK-HKT is all on one tix, then the carrier has obligations to look after you if there are delays/problems. If you buy one tix to LHR-BKK, and another separate tix BKK-HKT, then you carry the risk. So, charging more to tie it all together seems logical, even if the actual price increase still seems pretty incomprehensible.
Maybe its just something simple like the Y sector BKK-HKT pushes the LHR-BKK sector from a cheaper fare class to Y thus increasing the price? Who knows!
Sometimes, originating in a developing country, longer flights can be cheaper eg the great SQ fares that had CNB-SIN-LAX (for eg) priced less than SIN-LAX in the same fare bucket.
Maybe you've just picked a busy day and are being quoted full F (as opposed to discounted F fares (A or P). Did you check the fare condition link to bring up the booking class (something BK: F [=full F], or BK:A [=disc F] ).
Cheers, TK