I know a guy that pulled it off, he checked in the night before, and flew in with a different carrier to his second leg.
they didnt want t let him board, but he kept on insisting that he was on previous flight, how did he otherwise get to this airport, and that the airlines computers must be down or so, and finally they agreed;
so this guy was obviously without luggage, and again each airline is diferent, and every agent you fall on differs;
however, as you are a lady (and if you know how to talk), approach a male agent, and hope for the best;
Its a risk I wouldnt take in most cases.