I'm just having a look at various prices and options quickly, but my gut feeling is your best of splitting at Manchester.
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All prices below are based on 1 adult, with no rail card discount.
Wigan - Grimsby £37.40 Off Peak return | £45.60 Anytime return
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Wigan - Manchester £3 Off Peak return | £7.10 Anytime return
Manchester - Grimsby £34.60 Off Peak return | £42 Anytime return
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Wigan - Sheffield £20.50 Off Peak return | £25 Anytime return
Sheffield - Grimsby £17.10 Off Peak | £21 Anytime
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Wigan - Doncaster £24.60 (via Leeds) Off Peak or £26.60 (via Sheffield) | £30.10 (via Leeds) or £31.60 (via Sheffield) Anytime
Doncaster - Grimsby £17.20 Off Peak | £21 Anytime
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Wigan - Leeds £20.50 Off Peak (not Preston or Liverpool) | £26.40 Anytime (not Preston or Liverpool)
Leeds - Grimsby £25.80 Anytime
Well, my gut feeling was wrong, the cheapest ticket is the through ticket.