Dijonspurs I once did CPH-DOH-HKG, HKG-DOH on one PNR and DOH-MAN on another PNR. I had no problems when checking in at HKG. They even cancelled the DOH-CPH flight on the first PNR so I would not have to pay the No show fee. Not quite your situation but it shows that two PNRs are no problem.

Should HKG for some unknown reason refuse to check you and your baggage through to DXB they can only issue you with a HKG-DOH boarding pass since your DOH-ARN flight is more than 24 hours after arrival in DOH. In this case go to the Transfer desks and recheck-in for DOH-DXB there. I am assured that transfer desks in DOH can retrieve your baggage, redirect it to DXB and issue you with a new baggage tag.

WARNING: Qatars immigration laws apparently only permit you to be in transit for a maximum of 24 hours whereupon you are a visitor and will require a visa.