I tried doing BA (LHR-ARN) QR (ARN-DOH-HKG) KA (HKG-PEK) 3 separate tickets at BA F check in last month but they could only check to HKG. Depends on the agent, I didn't mind in the end, the amount of J segments filled up my carry on with amenity kits that I off loaded into my checked luggage when I re-checked at HKG :P