There is no actual problem of copying any link to the content. WordPress itself actually has an option for this. If you want to paste a URL, use this feature instead. You can add a media from URL in the Add media screen.
Click the Add media button in the visual editor, and then choose Insert from URL from the left panel. You can then add a caption, alt text and/or align your image.
But if you copy the link directly into the editor, you won’t get stuff like captions.