Some airlines have very strict rules against accepting through bags or issuing through bag tags for space-available travel. I don't think either NW or DL are among those. AA, will accept a through checked bag for a ZED passenger and we will tag a through checked bag to an OAL, as long as that OAL is not one that prohibits it.

Yes, the PNR needs to contain the entire itinerary in order to do this. Our agents will usually add the OA flight using a passive action code (in Sabre it is DS). This allows the agent to issue the bag tag to the final destination shown in the PNR but does not send a booking message to that OA.