hello
You can use short code only in HTML content.
- In Joomla articles
- In Custom HTML module
- in other Joomla component and modules witch support Joomla Plugings
As you may build what you need
1. create 2 child gallery in OS Image gallery
2. Create 2 Joomla articles, add to articles short codes from galleries from point1
3. Create menu to these articles point 2
4. save links from point 3, hide(not delete) menu from point 3
5. In OS gallery, Create Parent gallery for point 1
6. In parent gallery from point 6, under images, to link settings, please add links from point 4 (as on your image)
Links must look some like:
yoursite.com/link_to_child_gallery1
also please check "All in one" and "Album" layouts
Regards
OrdaSoft team