I can think of no reason why you cannot book a ticket from Bordeaux to St Jean-Pied-de-Port via Bayonne. There is obviously no financial benefit in doing so for the second leg, although the could be for the service from Bordeaux,. However, if there is a reasonably tight connectin time in Bayonne, you will not want to have to stop off for to buy the second ticket. I assume that you are plannin on leaving Bordeaux sufficiently early in the day to catch the second train.
Based on your reply I went back to retry it. I needed to enter the "via" field for it to return the route.
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