Yes, it is possible to create your own travel case, either at the airport or before you get there. I've done it on two occasions. See below for more details.
I have a couple of S&S single bikes (Co-Motions), and a Santana S&S tandem and S&S triplet. Yes, I like them! But, more to the point, I've traveled a lot with them. Usually I use the S&S Backpack cases, but I also own an S&S hard case. Coupled bikes aren't for everyone, and they do add to the cost, but I disagree with DaveB in that IMO they are much more likely to pay for themselves now than in the past, now that airlines are charging very hefty fees to fly bikes. But that's another discussion, and one that's been hashed over many times elsewhere.
Let's get to your original question!
Anyway... several years ago we were planning a two-week tour in Europe with our tandem. As part of the trip we'd fly in/out of Munich, but add another one-way flight leg from Munich to our start point. To enable this I took a cardboard bike box and cut it down/fabricated it to the standard S&S case size of 26x26x10, and put it inside the hard case. I rolled up some corrugated cardboard into a few tubes that were 10" in order to act like the "compression members" that S&S sells. The idea was that once we got to Munich, we'd simply pull the cardboard "case" out of the hard case, store our hard case at the airport and then continue on using the cardboard box for the next (one-way) leg. As it turned out, we had to change plans once we landed at MUC and I never used the box for what I intended, but I have no doubt that it would have been fine. I still have it in the loft in my garage ready to use at some point. S&S actually makes a nylon cover they call the "box cover," designed for just this sort of use. It weighs 2 pounds and costs $50. I guess it would provide a bit more protection for the box, but it doesn't really seem necessary. But it shows that the cardboard box idea is something that S&S explicity endorses, as they sell their own version. http://www.sandsmachine.com/ac_box.htm
The short of it: get a cardboard bike box, cut it down to 26x26x10, and then just pack your bike in it like a regular S&S case. Get lots of heavy duty packing tape and use it liberally to strengthen the box. Depending where you are, find some cheap foam pipe insulation to protect your bike tubes, or wrap liberally with newspaper or the like.
Alternately, if you have access to a home store like Home Depot in the USA or Obi in Germany, you can make a simple box using 1/4 plywood (underlayment) and 1x10 dimensional pine wood (which is actually 9-1/4 x 3/4) to construct your own "legal size" box. Pay them (they charge $1 a cut or something like that) to cut the plywood and 1x10 to size and then simply nail or screw it together and you are good to go. I bet if you go off-hours and are nice to them, they might even let you use some tools; otherwise get a cheap hammer and some finish nails, or a screwdriver and some drywall screws. Cost? Probably $20 or so in materials and an hour or so of time to construct. Pick up some pipe insulation while you are there for $1 a piece. You'd need two panels at 26x26, two 1x10s at 26" and two 1x10s at 24.5" to keep in size.
I made something along these lines for the center section of my S&S Santana Cabrio triplet in order to take it on a plane. The center section is not designed to fit in an S&S bag, so in order to get it on the flight with no extra charges I had to figure something out. It's a bit more complicated than what I suggested above due to the nature of the frame section, but it will give you an idea of what I'm talking about. Here's a link to the BF thread with pictures if you are interested:http://www.bikeforums.net/showthread.php/712897-Photos-custom-crate-for-Santana-Cabrio-center-section?highlight=santana+cabrio