I had the same issue with an AI-NW connection about 10 years ago flying BOM-DEL-LHR-ORD-MSP-ATL. The bag never showed up in ORD and I filed a claim with NW in Atlanta.

Three months later, after NW had already settled the claim, the bag showed up with United baggage services in Sao Paolo, Brazil. How it got there we don't know but I wound up with the bag and the compensation.

Bags show up when you least expect them. Bottom line is that AI cannot and will not assist you. You must pursue any compensation and tracking with AA (yes, even if they never received the bag in the first place).