We can set the gallery thumbnail image to link to an attachment page or the original image, not to a specific page or URL. The instructions that @lettergrade provide only apply to images that are not in a gallery. Try adding the URL into the caption field of an image. This will show the link when someone hovers over the image in your gallery.
We will not be able to specify the link of the image or remove it. However, we can use CSS tricks to prevent users from clicking the image. If you have the Custom Design upgrade, you can add the following custom CSS to the CSS Editor in the Appearance → Customize → CSS panel in your blog dashboard.