I've never tried to through check with PG, but I have with DL, MU, and AF. In my experience with them, they've only ever asked me for the flight numbers so they could manually add to the baggage tag. They didn't care about my PNR or flight numbers I was booked on vs marketed as. I would arm yourself with the website information showing the codeshare through-check policy, the PG flight numbers of the flight you'll be on (even though you're booking as something else, don't tell them that), and the fact that this might not work.

My real question for you is this though, at least with DL, AF/KL, and MU, the codeshares only work with an international long-haul flight. I would imagine the AA codeshare would require a leg to the US. Is that correct? (How are you booking this single flight under AA flight numbers?) If so, you'll have to collect your bags in HKG and recheck them as they aren't tagged back to the US. In PVG, there's nowhere to do that if you're flying I-I on MU/DL. I don't know the setup at HKG, but keep this in mind if you're continuing on past HKG.

If PG wont check all the way through to HKG, do you have enough time to go landside, claim your bag, recheck it, go through security and immigration? I imagine you'll need to do the immigration part regardless as you'll be flying D-I.

Good luck and have a safe/fun trip!