It is not allowed on almost all tickets. Most agents will not short-check bags and this is enforced by the computer systems of most airlines. The airlines do this because invariably the ticket without the last sector costs much more, so they are losing revenue. Technically the airline can recompute the fare and charge you retroactively if you miss the last sector, but in practice this rarely happens. More practically, you'll have to travel with carry-on bags only as any checked bags will go to Delhi if you choose to do this.