score:2
I just talked to Sharaf Travel agency in Dubai (+97143965186) to clear my doubts. They told me following things:
I will not need transit visa if I am not leaving the transit area at Dubai airport.
I can check-in my baggage at Mumbai airport and tell the airline staff that I will like to pick up my baggage in the transit area. From the transit area, I can drop off my baggage at Finnair counter inside transit area.
Upvote:1
It's difficult to know for sure but it seems too risky to rely on it if your ability to transit without visa depends on it (worse case scenario, you could be denied boarding on the return leg and be forced to pay much more for a direct flight or a proper connection). It's more likely to be possible if the airlines are both full service airlines from the same alliance or have some partnership (codeshare or interlining). It's almost certainly impossible if one of them is a low-cost carrier.
Also, even if the cheaper fares do not show up when searching for Helsinki-Mumbai directly, you might still be able to buy this itinerary as one ticket with a stopover (using the βmulti-cityβ functionality on the web or going through a travel agent). If that's not possible (either because the airlines have no interlining agreement or because the cheap fares don't allow it), it does not bode well for your luggage situation.
You should in any case try to confirm this beforehand with the airlines.