IMAGE BLOCKS AND CLICKTHROUGH URLS
You can add an image block to a page, then edit the image block and add a CLICKTHROUGH URL, so that when the image is clicked, it will lead to an external URL. This image on the right for example, has a clickthrough URL that will lead you to squarespace.com.
You just need to make sure that the open the image in a lightbox isn't ticked. You can hover over the image block and select Edit, or you can double click it to open the settings for that image block, scroll down to reveal the Clickthrough URL drop down menu.
GALLERY BLOCKS AND CLICKTHROUGH URLS
You can do the same thing with gallery blocks, where you can add clickthrough URLs to each image in a gallery, you then just need to make sure that the lightbox option isn't selected, so when you click the image it will lead you to the destination you specify.