Clicking a link should first check if the link is to another lemmy instance, and if it is it should attempt to open that post while remaining in this instance.
I think if you use Lemmy (and mastodon and other fedi platforms) through a client you can avoid this issue. I use Tusky and Pinafore for mastodon, but haven’t found a good one yet for lemmy
You can but it might be a little unstable. Post from mastodon and mention @community@instance.url to make a post