The Gallery does not do this well. You can add a link in a Caption or Description, but generally most people will tend to click on the photo. If you link your Gallery to the Photo Carousel (default) or to the Attachment Page (can be chosen when the default is turned off), then you’ve given your visitors two chances to click through to the page.
You might want to try adding an HTML table instead. Doing so will allow you to link your thumbnail image directly to the page you intended.