For instance, this one (link to a post to !memes@reddthat.com): https://reddthat.com/post/20260613
Pasting it in your search bar should give you this kind of results:
You can then click on it to access the post from your instance (in this example, lemmy.zip: https://lemmy.zip/post/16918691)
Yeah, 3rd party links are a tougher nut to crack. You’d think they could at least fix the local links, though.
I can think of a few potential solutions, but they’d all require a lot of user opt in and centralisation, which makes it unlikely to ever happen.