I used to regularly check through BHX-CPH-Malmo and return. The first leg was with Birmingham Executive Airways (Later a subsidary of BA) and the second leg was with the helicopter service from Kastrup to the the heliport on Malmo docks. This was run by (I think) an independent company with no apparent connection with either BEA or BA.
It was a good job I could check straight through as there was only 45 mins between scheduled arrival at Kastrup and the departure of the helicopter! On only one occasion did my baggage not arrive with me at Malmo, this was delivered a couple of hours later to my hotel thirty miles away.