Well now that I'm here and it's still fresh on my mind let me answer my own question. Flying TYS->PHL->MAD->PRG on American Airlines although MAD->PRG was on codeshare Iberia Airlines. Talked with AA before departure and was told no way could we get that final Boarding Pass for MAD->PRG while in TYS airport checking in. When we arrived to checkin yesterday we were initially told the same story...we'll have to get that BP when we arrive in Madrid. That is, until 1 super intelligent checkin lady arrived to tell all the others "Yes, we COULD get the BP in TYS". And sure enough she took our group and went through the checkin process all over again and DID print ALL the boarding passes. Our baggage tickets were marked PRG and we were told we wouldn't have to check them again.
So - the conclusion is: If you're told something is impossible don't necessarily believe it. Seems that's the story you'll hear if the employee doesn't "know" how. Thank heavens for that one agent who was intelligent enough to know how and dedicated enough to go through the whole process again!
When we landed in Madrid we followed the crowd through passport control and even though we never officially exited the secure area we ended up at another security check in line where we went through the security scanners again. At the entrance to the scanners our boarding passes were checked, and the 2 unfortunate souls who used the kiosks to check in at TYS and a single manual boarding pass was issued by an agent for the MAD->PRG section, those 2 boarding passes were missing the barcode so were rejected before we entered security. Those 2 people were sent back to the Iberia desk to get NEW boarding passes.
We never passed a baggage claim along the way, and sure enough our bags ended up in PRG like they were supposed to.
Just FYI - seems a lot depends on the employee who checks you in!