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I don't think this is possible. Unfortunately, you'll have to add each image individually with the image widget and then add a link to each in the image widget properties. Actually there wouldn't be a point to using the image gallery widget because those open lightboxes when clicked, and if it goes to a link, why would you need lightboxes?
Anyway, I'm sorry that there isn't an easier way to do this.
If you have any other questions, please let us know.