I have done this successfully several times on various airlines (even from separate alliances). HOWEVER, earlier this year I was flying JFK-LHR-TXL (BA) and TXL-HEL (AY) on another PNR and the gate agents at JFK were not able to check my bag to HEL because I had checked-in online for the AY flight. They tried for at least 15min, but eventually apologised and only checked the bag to TXL.