I don't know why it is that way, but I just found the same thing...

It's cheaper to buy 2 one-way tickets than a R/T for ORD-LGA

The R/T (non-stop) was $379 + $20.80 tax and the one-ways (non-stop) were $149 + $10.40 each. Buying the one-ways saves $81!

Also if you book 2 one-way, one-stop flights, you would get double aa.com bonus miles vs. the R/T.