In previous years they have offered promotional fares from Salisbury, and stations west to Yeovil Junction, to Weymouth. Split ticketing may be the best answer. However, tickets are valid on any through service, however routed.
Are you sure?
The only tickets listed on BRFares from London to Weymouth are route specific - via Southampton and via Westbury. There is no "any permitted" which - I agree - would be valid on a through service, even from Waterloo via Reading, Oxford, Worcester Shrub Hill (train reverses), Bristol, Taunton (reverse) and Castle Cary (reverse).
From the NRG instructions:
Most customers wish to make journeys by through trains or by the shortest route. In both cases they will be travelling on a permitted route, provided the correct fare has been paid to reflect any routeing restrictions indicated by the fares data. Reference to National Routeing Guide data is only required when a customer is not using an advertised through train or the shortest route.
A through train is advertised in the National Rail Timetable as a direct service which offers travel between a customer’s origin and destination stations as provided on the ticket that they hold for the journey being made. This route may not be a permitted route if a change of train is necessary to complete the journey.
So this does appear to be a direct train that is on a permitted route but only with a ticket that is not available to buy. I don't recall seeing that dealt with in the NRG...