There are possibly thousands of these, look at past posts in the 'Fares, Tickets & Routeing' forum for a few examples.
There are a number of reasons for this.
There are some occasions where the fare between two stations are set by different TOCs compared to the through fare. For example Bristol Temple Meads to Cheltenham Spa is set by First Great Western, and Cheltenham Spa to Birmingham was traditionally priced by Central Trains. The through fare, however, was traditionally priced by Virgin Trains (now CrossCountry).
It could also be the case that for short journey legs, in order for cost of two tickets to match the fare of the through ticket, the fare for the shorter legs would be absurdly high. The fare from Bristol Parkway to London is GBP137. However, the fare from Bristol Parkway to Didcot Parkway (roughly half way), is GBP40.20; and the fare from Didcot Parkway to London is GBP42.20; a total of GBP82.40, some saving of GBP54.60. Making both fares roughly equal to half of GBP137 would cause massive increases that would not only be very high but not permitted unless derogation is sought from the DfT as the two short tickets are also regulated Standard Open Returns. [1]
[1] I have to point out, though that the Standard Open Return (the through fare) is different to the shorter tickets (Standard Day Return) as you can make the journey within a month dated on the ticket, whereas the Day Returns are only valid on the printed date - but the cost of two singles is only around GBP2 more. It's also worth noting that not all trains call at Didcot Parkway, limiting what trains you can catch.