We have booked a ticket from WLG-HKG-HEL-PRG, flying NZ to HKG and AY from HKG-PRG (single ticket).

There is a two hour transit time at HKG, and NZ customer service informed me that they cannot check the bags through to the AY flight.

Is this correct? Is there any interline agreement with NZ and AY? And if not, is there a way to get the checked baggage moved in that time. Do we have to clear customs and immigration?