Adding a link to the image caption in a gallery?

Hello, all. I have a question about adding a link to the image caption in a gallery. In the photo gallery I'm working on, each large photo is displayed by clicking a thumbnail. When each large image is displayed by clicking its thumbnail, it needs to have its own unique image caption. Not that complicated, it is the next part that has me confused...

My issue is adding a LINK inside the image caption.

Making the clickable link area bigger, but using an image link

I found this page earlier and it details how to get something like that working:

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