These handhelds (similar to this one anyway!) are able to emulate that physical link. Like you see in this video here:

www.youtube.com/watch?v=Y_Qx720WxJ0

Before very recently this one wasn’t able to, but I’ve found someone did manage this 14 days ago and shared their project, you can find it here:

reddit.com/…/lan_multiplayer_netplay_and_gba_link…

(Hope all this helps, and I’m glad you enjoyed my review! Thank you!)