Possible but going to be very challenging. As you’ve discovered you need sufficient clearance between the parts so they don’t fuse, which means your finished product will have larger gaps and more play than you’d like. Attempting something like this I would create small, custom supports between the interlocking pieces as Preform-generated ones will probably have more connections than you want to the lower section (it often generates “tripod”-like internal supports, although I have to admit recent versions do a nice job of routing around portions that are in the way.
Could you make snap-fit links instead of printing it all in-place?
If not, the Fuse 1 would be a much better fit for what you want to do - I think one of their demo prints was actually an interlocking roller chain (such as you’d find on a bike).