'To' is a preposition, which means there has to be a word after it, like 'all the way to the end.' 'Through' can be a preposition, but it can also be an adverb. So you can say 'I read the book all the way through' (which means all the way to the end), and you can also say something like 'I walked all the way through the city' (which means you walked across the whole city).