The connecting airlines have nothing to do with this question ... it would be the same whatever airline you used. A few countries require clearing customs at the port of entry but most do not; I believe Italy does not. So you will clear customs at GOA. Your bags will be identified by special tags and then pulled from the regular luggage stream for inspection at GOA. This may take 5 seconds, or it may take a few hours, being Italy. Most of the time luggage is not inspected, but the HKG tags on the bags might instigate a bit of interest in their contents. This is a particular problem at small airports that do not get a lot of long-haul traffic and the customs people are bored.