First, assuming your Venice tickets are non-refundable and have a huge change penalty.
See about a one way return from Rome (ROM) to either: London Heathrow (LHR) or New York Kennedy (JFK). Then price the one way from either LHR or JFK to MFE. By using two of the busiest international airports in the world, you can often find cheap flights from Rome's Fiomincio (FCO) to either JFK or LHR.
An example of a use that I'm looking at for next year, for Spain.
I'm first pricing and timing open jaws from JFK to Barcelona and some combination of Madrid, Seville, Lisbon to JFK. When I hammer that down, I just fit the JFK-ORD flight home in there.
Since you're living somewhere beyond a hub, you are probably having an additional layover beyond the megahub. Probably DFW, but maybe Houston. Yeah, doing a quick search on flight options, it seems it's always two connections, with the second one being DFW, which is a megahub for the US.
For future reference, the tip, as explained by others, is to price it all together, even if you're flying open jaw. I can get you from MFE to VCE via a non-idiotic route (MFE-DFW-LHR-VCE/FCO-LHR-DFW-MFE... the cheapest one was MFE-LAX-LGW-VCE (3 days with layovers) and coming back FCO-LAX-LAS-MFE with a 6 am departure in LAX... I wouldn't even suggest that to someone at work that I hated)... goes $1422 or $1423 depending on whether you book the same flights with AA or BA with a return on December 2nd. Saturdays are good for flying, definitely. But weekends are bad for buying. This could be down to $1250 on Tuesday. There's a similar version that works through Philadelphia, and I suspect there are better routes that don't involve as long layovers in Dallas.
Now, back to current problem... what return date are you looking for, and I will play my favorite game and see what's out there.