How to add a user defined hyperlink to the “Featured Image” and the_post_thumbnail()

I assume you want this to be output inside of the_content()?

You would probably have to define a shortcode that will output the_post_thumbnail(). You could either define the shortcode to accept a URL as an argument, or else wrap the shortcode with HTML anchor tags.

EDIT:

Assuming you’re already outputting the_post_thumbnail() inside of the_content(), you could add a custom field into which the user enters a URL, and then, if the URL is present, output anchor tags around the call to the_post_thumbnail().