Just to specify the vocab here: (1) linking PNRs: that simply means putting a note in each PNR that refers to the other(s) and that's possible. It can be useful for instance if two people travel together on different PNRs and want to sit together or it will alert the airline you are arriving from another flight so that they can know you will miss your flight if the said flight is late (or can help them feed API info). Linking itineraries will NOT protect you on the whole routing. If flight no1 is late and you are not there on time to board the first flight of itinerary no2, you will be considered a no show and your other flights will be cancelled. (2) merging PNRs: is what you are really asking for, so that you are protected if flight no1 is late. This is NOT possible, not for blue, not for gold, not for BA, not for any other airlines because IATA does not allow the merging of separate itineraries. All that can be done is cancelling itineraries and rebooking as a single itinerary or, as henkybaby mentioned, changing an itinerary to add extra segments (could be possible for award tix, for paid tix it's likely to only work on fully flexible tickets anyway). (3) for the record, while merging PNRs is not allowed, dividing a PNR into several (e.g. taking on pax out of a muli-passenger reservation to give him/her a separate PNR) is possible.