I was in the same situation a few weeks ago - had to book two legs separately because of scarce availability, and was looking for a way to link the two to provide exactly this kind of protection. I called, and the woman was extremely helpful - she tried everything she could think of, and asked her senior team leader and her manager. They spent 20-30 minutes on it.

Unfortunately, the answer ended up being that there's just no way to do it. She did "link" the two of them, although I never got a perfectly clear answer as to what that meant (she may have just included one PNR in the notes of the other one or something). She was very clear that it provided no protection against delays or anything like that - basically all it would do is make the gate or check-in agent aware that we were indeed connecting, and possibly make it easier to check our bag all the way through.

Sorry, but that's all they can do. As has been mentioned, get some good travel insurance, or pay for the cash portion of the tickets with a CC that will cover you if you do have problems (Chase's Ink cards are the only ones I know of that covers flights paid with miles, but there may be others).