There are two proposals (https://github.com/LemmyNet/lemmy/issues/2987), one for a syntax specific to comments which would make your link the following:

#3983363@lemmy.nz (it might already work in some frontends, but it most likely won’t yet)

and the second is using standard web technologies to register handlers for lemmy and then linking to posts like so (using my instance as an example):

navigator.registerProtocolHandler("web+lemmy", "https://lemmy.escapebigtech.info/search?q=%s", "Lemmy cross-instance link handler")

which would take you to the search page where your instance will show you the post on your own instance.

I personally think the best way is something in between, or rather implementing both