Interlining is intended only for customers travelling on a single ticket involving both of those airlines.

You should expect to have your request to have your bag checked through declined.

If they do agree to check your bag through, be sure to show the baggage receipt to the next airline at ATH; they are not expecting any baggage for you, as you have not checked the bag in directly with them; and if you do not explicitly bring the bag to their attention by showing them the baggage receipt, there is a very good chance that your bag will not be loaded and go missing.