TRANSHIPPING OF BAGS IN KUNMING

I am flying Mandalay - Kunming - Hong Kong.

The first sector is booked with China Eastern. The second sector is booked with Hong Kong Airlines, but the flight is code shared with China Eastern.

The unhelpful staff at China Eastern's Mandalay office state that China Eastern will NOT tranship my bag for me at Kunming.

Is that really true? If it is then it mucks up my Chinese visa as they have only allowed me two entries, one for Hong Kong and one for Macao. I do not want to pass through immigration at Kunming!

Please help me!