Orrell to Sheffield Off Peak return is £21.70 (Restriction code 8A Valid on any train - although this is irrelevant at weekends anyway), with a Railcard this is discounted to £14.35, so I guess you are referring to a Railcard-discounted Off Peak Return? This is routed "Stockport".
You could get a CDS to Manchester Ctlz (£2.10) and on the return an Evening Return is cheaper than a single, at £1.10. This can be combined with an Ashton under Lyne to Donkeycaster SVR at £11.15. (all with railcard discount applied), interestingly this comes out at £14.35 so saves you no money but has extra validity in that it is also valid via 'uddersfield and is valid for several miles beyond Sheffield. If the extra validity is of no use to you, then stick with the through ticket.
AHN-DON is a brilliant value ticket. No-one should ever buy a MAN-SHF ticket!!