You can get an open return from London Euston to Manchester quite cheaply via London North Western and changing at Crewe. It is either £40 or £50 (from memory) depending on the time you want to travel, then it would be fairly cheap to get an open return from Manchester to Lancaster. If you can travel off peak then it would be possible to do the complete return journey for around £65 but it is a bit of a faff -
London Euston to Crewe via London North Western
Crewe to Manchester Piccadilly via TFW (these cheap tickets only offer TFW trains and not Northern, the TFW services can get very busy due to a lack of carriages)
Manchester Picc to Lancaster (via any permitted)
The journey planners will probably have better ideas than me though
Update - I checked to see if there are direct trains to Lancaster from Crewe, there are but the open returns are very expensive. I have only included open returns for flexibility as if there are delays and if isn't a through journey things can get a bit complicated. If you are happy with advanced singles though you could probably get a direct train from Crewe, or get it even cheaper via Manchester if you are happy to that third change. Also I would be interested to know if travelling up the East Coast line would work too. My open return method would be about 5 hours or more in travel! So perhaps not so great.