I take your point, and I certainly wouldn't burn any bridges, but surely there is a way to politely draw an interview process to a close without offending the people concerned?

I once interviewed for what I thought was a PM role, and started getting asked lots of in-depth business analyst questions about pricing derivatives. After the first couple of questions, I interjected and said that I had been told the role was X, they clearly want Y, and that's not me. They agreed and I wished them good luck in their search.