When I rang the embassy here in Paris I had exactly the same reply, yes you need a ticket to/from the US even if you'll actually be leaving by road and then flying out of a different country. They said it doesn't have to be a return ticket, it could be two singles for two different airports, but you should have a ticket to show how you intedn to leave. Seems daft to me, but there you go.
I've read of people getting a fully-refundable ticket for the return portion, using that to show for the Visa Waiver program and then getting a refund once they're in the country, and if that's a cheaper way of doing it it seems a good idea to me.
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