Help me understand the question. You have an existing 200 amp fused switch, serving (I presume) a 200 amp panel somewhere. You want to connect a wire to one load terminal and a wire to the neutral, and with these two wires serve a new, separate, 125 amp panel. Is that right?
I think that if you size the wire to the 125 amp panel such that a 200 amp fuse protects it, or can otherwise apply one of the tap rules to allow the use of a smaller wire, and if you can show by calculation or other means that the combined load is not beyond the ampacity of the feeder to the safety switch, and if the neutral wire in that feeder is ?full sized? (i.e., so that the imbalance created by adding load to one phase will not exceed the ampacity of that neutral wire), then this should be allowable.
But why not provide a 125 amp fused disconnect next to the existing 200 amp fused disconnect, and make your connection on the line side of the 200 amp device? That makes the two downstream panels a bit more independent.