"linking" PNRs is tantamount to entering a remark on the second PNR that the passenger is coming from the flight on the first PNR. It does not change your contractual entitlement and would not enable UL in CMB to check you in your KL flights (UL staff would not have access to the KL check-in system, or your KL PNR for that matter). Since Indian airports do not accept digital/online BPs for international departures, you will have to obtain your BP at BOM. I have not transferred at BOM but, if (as I believe is the case) it works like DEL, you should be able to obtain it from the transfer desk without having to enter India, but you will still have to wait for the KL check-in opening times, so plan on having something to keep you occupied for a few hours until KL CKI opens.