Here is an example of a local homeomorphism which is not just a covering map with points from the domain removed (nor is it of the form $\bigsqcup U_i \to X$ where $U_i \subseteq X$ are open subspaces).
Let $X= \Bbb{Z}_{\geq 0}$ with open sets $U_n = [n, \infty)\cap X$ for $n \in \Bbb{Z}$. The open sets are nested $X = U_0\supsetneq U_1 \supsetneq \cdots$, so that any open cover of $X$ contains $X$ itself. Here is a picture:

Because any open cover of $X$ contains $X$ itself, its covering spaces are all of the form $\bigsqcup_{i \in I} X \to X$. Yet we can easily construct a local homeomorphism not of this form by gluing two copies of $X$ together along any of the $U_i$. (The result is a connected space which is not homeomorphic to $X$, so it cannot be extended to a covering map.)
EDIT: It is also easy to get a local homeomorphisms onto a simply connected manifold $M$ which does not extend to a covering map, though the space which maps to $M$ won't be a manifold. For example, the sphere with two north poles mapping onto the usual sphere is a local homeomorphism.
More generally, one can glue a number of copies of $M$ along some open set, obtaining a local homeomorphism onto $M$ whose fibers are already too large to extend to a connected cover. (This does not contradict the proposition mentioned above because it was also necessary that the domain of the local homeomorphism be Hausdorff; if we glue two copies of a manifold together along an open set then the boundary points of that open set are not separated from those in the other copy.)