Booked OSL-LHR-HKG-DPS-HKG-ZRH-OSL

OSL-LHR is on BA
LHR-HKG-DPS-HKG-ZUR is on CX
ZRH-OSL is Swiss(?!)

Instead of taking the final leg to OSL, can I skip that and just short check my baggage to ZRH? From there I can book ZRH-LCY and that would be the best situation for me. I won't earn avios/TP on the OSL-ZRH leg anyways and it would save me loads of time instead of doing OSL-LHR.

However, the booking above (booked on OTA) is showing up in MMB on BAEC website. And I was wondering if that would cause any issues as I am skipping ZRH-OSL and doing ZRH-LCY instead?