A codesharing agreement is a deeper form of partnership than a ticketing or a baggage interline agreement. The existing of a codesharing partnership implies that at least a ticketing interline arrangement exists (in the same direction as the codeshare), as this is necessary for the technical implementation of a codeshare. However, a baggage interline agreement is a separate arrangement.
In this case it seems that if a baggage interline agreement has been signed, it is not yet in effect. At time of writing, J2 (Azerbaijan Airlines) has interline agreements with the following carriers.
MAY ISSUE TICKETS INCLUDING
AB AF AH AI AR AZ A9 BA BD BI BT B2 CA CZ
DL DV EK FV FZ HR HU IR JU KC KE KK KL LG
LH LY NG OK OS OZ PC PK PS QR RJ SU SV S7
TK T3 UA U6 VS VV XF Z6 6Q 7D 9U 9Y
MAY CHECK BAGGAGE TO
AB AF AH AI AR AZ A9 BA BD BI BT B2 CA CZ
DL DV EK FV FZ HR HU JU KE KK KL LG LH LY
NG OK OS OZ PC PK PS QR SU SV S7 T3 UA U6
VS VV XF Z6 6Q 7D 9U 9Y
You will note that TK (Turkish Airlines) is absent from the second category.
Further, an interline agreement for baggage is just a legal contract that enables the airlines to forward baggage to each other if they see fit in individual circumstances. The existence of the agreement doesn't mean the airline will be willing to do it across unconnected tickets.