Combining PNR's for checking bags

I'm looking at taking two legs with United. The first one I will list economy and second one listing business. If I purchase the tickets separately, which will generate two PNR's for each flight, can the check in agent at the originating location combine the two itineraries so my checked bag will arrive at the final destination? That way I don't have to pick it up, re-check, and get back in security to make the last flight.

Has anybody done this before? Advice welcome, thanks.