If you arrive from Oslo, you will arrive in the same terminal (the F pier) as the gate for the ORD flight, so you will not pass any passport (or security) check, expect for gate checks of course. Hence, the actual connection time once you hit the ground will only be a few minutes. This would give you a good margin if you take the Oslo flight.
The CPH flight however, will arrive at the "inside schengen" area, which will require about 10 minutes of walk and a passport check. The ORD flight usually starts to board around 9.30 so it is really tight.
As for tagging your baggage through, i do believe it require the same PNR. But if both flights are on SK metal, a knowledgeable CI agent should be able to fix it anyway, as said SAS are usually quite friendly on this. Your UA codeshare might mess things up, though.
If you need to pick up your bags and recheck them, things will be different, but it might work with the Oslo flight. Be sure to check in directly at gardemoen though.