Alliance has much less to do with it than the rules of the individual fares.

The AUS-IAH fare or the IAH-DEL fare may not permit end-on-end ticketing which would be required to make this work. What are the dates and the fare prices being seen? Someone here can probably look at the fare rules and figure out if that's what's happening.

And there isn't really such a thing as "linking" tickets. Through-checking bags depends on interline baggage agreements between the carriers in question. The UA fare is almost certainly a CO flight so the CO-KL relationship is what is in question and they do have one.