Do you mind if I ask what isn't super-easy about linking self-hosted loki search queries with SaaS-Prometheus? You should be e.g. able to add a Prometheus data source to your local Grafana (or securely expose your Loki to the internet and add a Loki data source to your Cloud Grafana)
In our particular scenario, we'd probably want to run Loki + Grafana locally, and then hosted Prometheus + hosted Grafana for metrics.
But would be great if we could just tell the two about each other, and under which domains they exist. That way, Prometheus-grafana could construct URLs that linked straight into Loki-grafana (that we host) for e.g. the same interval, or the same label filter (GET params).
But it would only work if I (the end-user) had access to both. That way, we don't have to expose Loki to the internet. But linking would still work.
There are quite a lot of services that does this with Github and commits. You can link from e.g. Bugsnag to Github by only telling Bugsnag your org and repo names. But Bugsnag won't have read access to Github (they also have another integration method which does require access, but that's not the one I'm talking about here).
Those types of "linking into a known URL pattern of another service" integrations are easy to setup and very easy to secure.