Upvote:1
As far as I am aware, the only airlines doing London-Copenhagen from Heathrow are British Airways and SAS (FR is using STN, D8 is using LGW). If the second airline is indeed SAS there's a chance at the start your baggage can be checked through, GDS has SK listed under "MAY CHECK BAGGAGE TO" for BA interline agreements. As I mentioned in another similar answer, do the check in online and have the boarding pass ready because that might help when asking for such a baggage through check. It can't hurt because the check in process can be repeated any number of times but it definitely can help.
Otherwise no, there is no baggage drop in a secure area of an airport anywhere, that would require the check in luggage to go through security. The US special transit drop offs are landside, the only time you are saving there is not needing to find the regular check in desks.