The problem AZ would have, and I guess this was the same for CY and SK, is that LHR has its own local market or access to particular parts of London and people will pay the LHR premium for that convenience.
Once you move round the M25 to LGW, LTN or STN, a number of your customers will switch to BA and the rest will say "if I have to go over to STN, I might as well save a few quid and fly someone else".
In my opinion AZ should just concentrate on LCY.