PhotoJAR: Base is a plugin for WordPress that allows you to change the link for all the images to the same external link. It has some handy features that all work by extending the short code for the [gallery].
Unfortunately, I suspect that you (as well as myself) needs to link every image to a separate external site from the gallery. I’m looking into ways to do it myself and I’ll let you know if I figure something out. It would be appreciated if you posted any of your findings as well.