i recently had a similar experience with a rebooking from UA to US in irrops.

if your bag is rerouted to the other carrier, it will be overstuck with a handwritten destination tag and the barcode identifiers on the baggage will be the same, that is those initially given by UA.

i handled mine immediately at the airport on arrival by getting the US and UA agent together at the same computer terminal (small airport, HPN, and at the computer terminal of US - since they were the responsible carrier) and got them to tell me where my bags were. i then got the US agent to give me the necessary documentation (tracking number in their system, baggage loss complaint #) and had him call the airport where my bags actually were (EWR) to start the return process.

right now if the bags are in DL's control and you arrived on DL it is their responsibility. if the bags are still in UAs control because they were not properly handed off you need to figure out where in the system that happened and get someone at UA or DL to get a person on the phone at that station. otherwise it could be a long wait. i would be willing to wager that if you gave them the UA baggage claim numbers, they would be able to locate them based on that, assuming the reroute process works the same for UA->DL as for UA->US.