If you are booked on separate tickets, Delta policy is only to check bags through on select Delta partners listed on page below (which does not include Aegean Air). Just because they have an interline agreement, does not mean they will necessarily check through. If you are booked on one ticket, they should be able to check through luggage as they look to have an interline ticketing/luggage agreement with A3.

https://pro.delta.com/content/agency...e-policy-.html

DL preferred connectivity provider to Greek Islands is recently added partner SKY express - https://news.delta.com/delta-partner...-greek-islands