For instance, this one (link to a post to !memes@reddthat.com): https://reddthat.com/post/20260613
Pasting it in your search bar should give you this kind of results:
You can then click on it to access the post from your instance (in this example, lemmy.zip: https://lemmy.zip/post/16918691)
I feel like linking is one of the things that is still pretty broken in the fediverse. I’m not sure it’s fixable. Ideally, any link would open in a chosen app, on my home instance. And I don’t use the same instance for Lemmy, Masto, etc.