But you can get a TA to put separately priced flights under the same reservation, with the same PNR. I have done this several times with BA/ AY bookings. Two separate tickets, but under the same PNR.

The advantage of this being that (i) the connecting flight at HEL knew I was coming in on another flight and (ii) the first flight check-in was able to check me in (different airline) for the connecting flight, as is popped automatically in the booking (and despite being 5 mins shorter than the MCT, this wasn't flagged).