Some parts of the world reserve a discrete squawk code for use by military interceptor operations (in the NBCAP, code 7777 is used for this). Does this squawk code, or some equivalent value, suppress TCAS RAs from other aircraft, or is turning off their Mode A/C/S transponder replies the only way an interceptor can avoid triggering a TCAS RA from a TCAS-equipped aircraft? Is some sort of Letter of Agreement used to keep track of interceptors in areas where transponding is mandatory but interceptors cannot squawk during intercepts, or during intercepts outside of primary radar coverage where the interceptor is unable to squawk?
To avoid an RA, the interceptor would almost certainly turn off at least his Mode C, and to avoid a TA and the concern in the intercepted aircraft of "what is this no-altitude traffic doing closing rapidly on me???" he will probably turn off his squawk altogether before he gets to the last few miles of the intercept. (There were cases years ago when TCAS was pretty new of intercepted aircraft getting a series of RA's as interceptors -- squawking everything -- closed on them, maneuvering to continue the intercept even as the target climbed and dived all over the sky in response to the RA's. That scenario is undesirable for all sorts of reasons!)
A wingman may well hold a squawk and park himself some miles in trail of the target, monitoring both the interceptor and the target with his own air-to-air radar. ATC can see the wingman and the target, and knows that there is an interceptor somewhere between them -- which is probably enough for their purposes.
Each specific case probably has letters of agreement between the ATC facility and the specific interceptors, so they'll all know in advance who's where, doing what, squawking or not squawking what, and who's talking on which frequencies. Those sorts of specifics probably aren't available in the public domain.