This is only relevant when using a BA 241.
You cannot include other carriers on a BA 241 award booking, so you would need to book LHR-HKG // DXB-LHR on BA using the 241, and separately book HKG-BKK on CX. This would also mean you are not protected for delays arriving in HKG causing you to miss the CX flight.
And as noted by the OP this will not be an acceptable open-jaw routing.
Code:
LHR (51°28'39"N 0°27'41"W) HKG (22°18'32"N 113°54'53"E) 57.5° (NE) 58.5° (NE) 5994 mi
HKG (22°18'32"N 113°54'53"E) DXB (25°15'10"N 55°21'52"E) 285.6° (W) 288.2° (W) 3684 mi
DXB (25°15'10"N 55°21'52"E) LHR (51°28'39"N 0°27'41"W) 317.2° (NW) 315.3° (NW) 3421 mi