More specifically, will I get in trouble with either Cyprus or Romania by doing this?
For those of you who may not know, four EU countries that are not yet part of the Schengen area, namely Romania, Croatia, Bulgaria and Cyprus have agreed to recognize visas for each other as if they were their own.
Now, I know that for the Schengen area, you could definetely get in trouble if you don't visit the very country that issued your Schengen visa. For example, you could receive a "national" visa next time, which doesn't let you into Schengen. Or say, border agents might also be suspicious of you if you haven't entered the country your visa is for prior to entering whatever country you're actually visiting.
Will there be similar problems in this case?
Background: I am a Russian, and Cyprus actually happens to be issuing its visas to Russians completely free of charge, not to mention it is probably somewhat easier for me to get a visa to Cyprus when it comes to paperwork as well.