Sure way is not to have a ffn in the reservation and then retro claim after the flights.
You could phone as and ask to put different ffn's in different segments. Been reports of this working/not working.
Finnair
"manage booking" may work. Works with many reservations
https://www.finnair.com/lt/gb/bookings/manage-booking
Edit. Another thread on the same topic
Received AS miles and AA miles for same trip