I dont know the answer to your question.

I have an EWR-LHR-NBO-EBB flight coming up with the EWR-LHR on CO, the LHR-NBO on VS and the the NBO-EBB on Kenya Airways.

Question is I have one record locator to NBO and another from NBO-EBB...can I or even should I try to check my bags all the way through to EBB on 3 different carriers or is that asking for major problems??