I think in the US you can check to a final destination beyond the US. You still need to claim bags and clear customs, but the bag can be tagged e.g. NRT-JFK-GRU and no need to redo the bag tag. Simply drop off with transfer counter after customs.

To get to HKG from the US, I've seen reasonable itineraries like ORD-PVG-HKG. What I'm trying to figure out is, could the AA or CX/KA agent on either end only check to PVG, and then you need to claim bag, clear customs, rip the old tags off, and then go check in as if you were not connecting?