The OW rules say no but my understanding is that CX says nonsense to that and they allow it. As long as you have not allowed too little time for the change of planes, HKG for a J passenger is going to deliver the bag quick (faster than you can get through even a short immigration queue) and even having to go through formalities in and out of HKG it all could be done in under an hour.

It would not be interlining if the line is the same airline. Interline would be to a different OW or non OW airline, inter being between and line being airlines.

Worse comes to worst put all the bags on the through ticket BKK-HKG-JFK.