I shall be looking into this on my next flight to Madagascar where I would like Air Kenya out and Air France/KLM back.
That's a different situation as you are flying a single airline outbound and single airline inbound although the outbound and inbound airline isn't the same.
An interline agreement, AFAIK, is thought for situations when two different are needed (or can be needed) to make a single leg of the trip (the outbound and/or the inbound). For example, an interline agreement allows to book, for example, Amsterdam-Paris with Air France and Paris-Tananarivo with Air Madagascar in a single ticket if you book it through a travel agent. If you book it by your own you would need to purchase two separate tickets.
I'm not a travel agent and I don't have any idea how is called when you are booked with one airline outbound and with a different airline inbound (and I can't tell you if travel agents book it as a single return ticket or as two separate one-ways although I'd have a guess) but I can tell you they'll be able to book the ticket you are looking for (after all Kenya Airways, Air France and KLM are all members of Skyteam) although a quick look showed it can be really expensive. It seems it would be cheaper if you return with Air France and KLM changing planes in Paris and Amsterdam (instead of returning only with Air France changing planes in only in Paris).
P.S.: Out of London you can take a look at South African Airways changing planes in Johannesburg (although it's usually expensive). Some days (only some days -one or two- each week), you can make it too with Air Mauritius changing planes in Mauritius so take a look at that option too.
