There have actually been services from LCY to Venice before. Baboo started off advertising their Geneva service as a through plane to Venice, that didn't last, but going back to the earliest days of jet operations at LCY, the Conti-Flug (remember them ?) 146 service to Berlin Tempelhof also was advertised as a through service to Venice.
Both these routes were characterised by virtually no bookings for the through service.