An interline agreement includes the acceptance of each other's traffic documents (tickets, excess baggage, charges documents, etc). Without an interline agreement, the carrying airline will not accept the issuing carrier's paper.
Are you certain these two do not have an agreement? I'd be surprised if that is the case. Rather than depend on airlines booking engines, give a travel agent a call. They have access to the tools to issue an interline ticket. (Or give SK reservations a call, they can do much more than their website can).
Edited to add: It appears SK owns some, if not all, of Air Greenland. They should have an interline agreement.
Last edited by ExXB; 31st Mar 2016 at 20:10.
Reason: Damn predictive text.