Sorry but this is not possible with media grid. Use services media element instead to link the images with external links. Set them up as a grid.
To make the links open in new tab, go to vc_templates/services_media.php and find this line: $output .= '<a href="'.esc_url($link).'"><div class="overlay">';
Replace with this: $output .= '<a href="'.esc_url($link).'" target="_blank"><div class="overlay">';
Save changes.
