Never been asked by immigration for a return ticket, even when arriving on a one way. The issue I have had is at check-in they almost always want to see a flight out of the country if you are on a one way. Some check in agents will flat out refuse to check you in with out this.
However there is a 'hack' (sorry, I hate this expression) that you can use:
In the US, the DOT have a rule that all travel agents must offer passengers a 24 hour penalty free cancellation period when booking a flight, even restricted/non refundable ones. The only exception is that this does not apply to budget airlines. So, go to any US based online travel agent e.g. expedia, priceline etc (it must be the US based one, not the local one that the site sometimes redirects you to). Search for any one way flight out of thailand to somewhere nearby like HCMC, KL etc. Look for one of the normal airlines (not budget like air asia) and you will usually see a indication that the flight offers free cancelation within 24 hours. Book it as close to check in time as you can. If asked, show them the ticket (they can even search it and will see it is a valid issued ticket). In theory, you could cancel it right after check in, but i normally wait until i have cleared immigration in Thailand (or where ever im travelling). Ive screenshot an example below.
This has never failed to work and the money is usually reverted back to my card in a day or two.
