Obviously this is only a question of policies and if the person at check-in is willing to do it.
There seems to be no technical issues.
I flew with QR in J this week MEL-DOH-ARN and had a separate connection from ARN to ZRH with Swiss
Although I was expecting nothing I asked at check in if they could check my baggage all the way to Zurich, and the very nice lady from QR looked up my flights and checked all bags through !
Arrived with no trouble in Zurich
I know this was lucky and absolutely exception, but at least I know now that it is not technically impossible :-)
Holger