Yes, you can create linked images with custom links to the internal pages/posts or even to the some other websites without limits. Also you can create links to the videos. For example you can use youtube video or vimeo video for your gallery resources as target media. When you open gallery settings on the right side you can see panel with additional options. Big button to the images manager make you able to open section where you can upload or manage images of the gallery. When you open this section and click on some image on the right side you’ll find additional parameters. There you can define link to the image or video link. Let me know if you’ll have some other questions.