Here's what I'm thinking:
http://www.caseclub.com/ata_wheel.htm
They also make custom cases. With the wheeled case, when you got to your destination you could remove the segway and transfer your luggage into the case, and wheel it behind you!
What are the dimensions of a Segway with the handle detatched? What about the handle itself. Could they both fit in one of these cases, along with an allen wrench and a power cord?