There's no problem with flying two different airlines. You just need to make sure that you print out a confirmation of your flight home and take it with you to SXM. Sometimes airlines will ask you for proof of your return flight, if you're not flying back out on the same airline. Not sure what the current rule is, but I think US citizens can only stay on SXM continuously for six months. If you're on the same airline, they can check their records for your return flight. Other than that, the airlines don't care at all whether you are on the same airline or not.