You can add a "Click Through Link" to your individual story photos by hovering a photo and clicking the link icon in the top right corner.
From there you will be presented with the "Photo Options" panel where you can add the URL of the link you wish to add. You can add or remove links at any time.
Once saved an overlay will be placed over the photo that will link to the URL you just added. Please note that you only see the overlay in action while in preview mode but this is how your visitors will see and interact with the link.