Hi there,
Thanks for reaching out. I am afraid, as of now, we can only link objects through anchors on the same artboard. For anchor links on different artboard, we have received a similar request on our Adobe XD UserVoice page, I'd request you to please upvote this request: https://adobexd.uservoice.com/forums/353007-adobe-xd-feature-requests/suggestions/40229146-scrollable-action-to-another-artboard-anchor
Let us know if you need help with anything else, we'll try our best to help you with it.
Regards
Rishabh