I personally think you will be able to check your luggage to final destination. Normally only check in staff at airport know about exact interline possibility.
You may also contact Copa for assistance:
http://www.copaair.com/sites/cc/EN/A...ntactenos.aspx
The other issue you may worry is about your boarding pass GRU-PTY, which EK may not be able to issue. The way out is for you to issue/print your boarding pass with CM online (website)! If you have your boarding pass with you, after arriving in GRU you may ask for EK or CM ground staff to locate your baggage and assist you in this regard.
Finally, in case there is no interline between EK and CM, you may travel with carry-on luggage only...this would also mean you do not need to clear immigration in GRU.
Rgs,