I agree with this. In order for CX to accept the checked bag, pax must have already been checked in for the flight (and there might be other additional requirements). If OP can use BA's OLCI to check in and generate boarding pass for OSL-LHR-HKG, it might make this more plausible. Otherwise, even if CX is physically capable of accepting the checked bag, CX cannot check pax in for LHR-HKG before OSL-LHR is checked in.