Interesting question! You might be prevented from doing so, for “security reasons” (which justifies just about anything these days). Isn’t it highly suspicious to add a bag mid-way?

I had the opposite problem in 2018, flying CHS-ATL-SRQ. I needed to check one bag only to ATL as I was meeting a friend at the airport and wanted to give him a couple of wine bottles I was carrying from Europe. It was absolutely impossible to negotiate this with the check-in ladies. (They said I could only solve it by buying a new ticket, CHS-ATL, but I pointed out that my next leg to SRQ on the original ticket would be canceled then...).

Just to add the solution for my case if anybody is interested: I asked the gate agent on arrival to ATL to kindly pull my checked bag (gave her the number) and she did pull it on the belt at the bag claim area.