I have booked Moscow-Abu Dhabi-Cairo flights with Etihad Airlines. Both legs are in one booking. Both flights are 24 hours apart and were booked as multi-city. I planned to stay in UAE for a day but had issues with the visa. How to check in my luggage to Cairo since I won't be able to collect it at Abu Dhabi Airport?
Since you have no visa to enter the UAE, you may be denied boarding in Moscow. I would advise you to change your itinerary to remove the stopover.
If you decide to go ahead with this itinerary, you can ask for the bag to be checked through when you check it in, but whether this can be done depends on factors outside your control.
You may have to accept that your bag will be delivered in Abu Dhabi, and ask at the connections desk in Abu Dhabi for your bag to be found and re-tagged. At least there will be plenty of time for that to happen.
Personally, I would expect the bag to misconnect and you may have to wait a couple of days for it to be delivered in Cairo. Pack anything important and a few days of clothing with you in your hand baggage (this is always good advice anyway).