

Lemmy doesn’t support this natively, but many clients do. Off the top of my head:
- Tesseract (desktop)
- Voyager (web frontend designed for mobile. I believe you need to install the app rather than using the website to use keyword filters)
- Mlem (iOS)
- Arctic (iOS)
- Thunder (Android & iOS)
- Sync (Android; I’ve heard Sync is unmaintained though)
Assuming you’re on desktop, Tesseract is probably your best bet. It might also be possible to get Voyager working. Some instances (like sh.itjust.works) run their own Tesseract instances (https://tesh.itjust.works/), but lemm.ee doesn’t. You’d have to use some other Tesseract instance, specifically one that allows connecting to any Lemmy instance (https://tesh.itjust.works/ is for sh.itjust.works accounts only). E.g. https://tesseract.dubvee.org/
You can read up on the conversation on the GitHub issue here.
TL;DR: the current system on the (unreleased) 1.0 codebase is that your Lemmy instance will replace all Lemmy URLs in posts/comments with the equivalent URLs on your own instance. In the issue I linked, some concerns are raised about this system and various other options are discussed. It’s possible that the way it works will change before Lemmy 1.0 is released.