Check with a proper TA instead of the OTA's. A proper TA can often get the same prices or better as you get using the OTA's, but they can put multiple tickets on the same itinerary for just a small admin fee. The Itinerary is what defines whether luggage will be checked through or not.
If you call the SK customer service, they can act as a TA and might be able to put the itinerary together for you if you give them the flight numbers you want to use.