Widget Gallery External Links

This may have come up before, but I can’t find it so here goes.

I’d like to insert a gallery widget in my sidebar but have the images link to external pages. Basically it would be a more colorful way of having a menu. I would caption the image with the category page that it links to, the user clicks on it and it takes them to that page.

Obviously it’s easy enough to do this within a post, but I can’t find a way to add external links to pictures in any widget gallery I’ve found. Is there a way to do this?

Thank you!!