The only way you can do anything like that with a Table of Contents in Word is if the full text of what you want to appear in the Table of Contents occurs in whatever you link the Table of Contents to. In this case, that means your caption text would need to include the https links for the pictures.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]

Or, you could use TC fields that include both the Caption text and the extra material. (Doing this is a lot of work.)