PNR cannot be linked in advance but during checkin. They need to checkin for the first PNR but not be second one and the agent at the airport will be able to link the PNRs and check the bags through the final destination. Make sure to verify the bag tag with the agent so that the correct rooting is displayed.
They did it for me 2 days ago. Admittedly, it was very smooth because Concierge did this even before I arrive at the airport right after I checked in for my first leg on the app.