I asked BA this question last week. I have a similar situation with a European flight followed by a redemption from LHR.
They said it was not possible to combine the tickets (different PNR's) but that it would probably be OK to check baggage through, though not guaranteed.
Same applies if, for instance, the first flight's delay/cancellation causes you to miss the second one. No guarantees on assistance. They said they would put a note on my bookings to help.