As hairyhandedfool said I'm afraid. Ticket machines will vend tickets from London Terminals, even if you're at the wrong London Terminal, which is somewhat counter-intuitive in my opinion. It is a deficiency in the way the machines work, in that they don't check permitted routes and the London Terminals are often grouped together for ticketing purposes.
If you need a ticket that includes Underground too, then you need to go to the ticket office and ask for a ticket from Zone U1, which includes a single underground journey (one per direction for a return) starting at any Underground station in that zone. However if you have an Oyster card, then using this to cross London will usually be cheaper than a through fare from Zone U1.
It can also work out cheaper to buy a ticket with an origin near to the terminal that you want to start at, and then start short. For example, Hackney Downs to Reading includes an underground journey as it has a Maltese cross next to the route ("✠ANY PERMITTED"), and is cheaper than a Zone U1 to Reading ticket.
If you do this, be careful to check that the ticket has no restriction on break of journey which would prohibit starting short, and beware that these tickets often have different restriction codes and thus different peak times to tickets from London Terminals
