Solution:
You can simply use each loop and then inside this loop use this
which will refer to current element which is iterated .
Demo Code :
$(".gallery-item").each(function() {
$(this).wrap($("<a/>").attr("href", "http://" + $(".gallery-caption", this).text().trim()));
})
<script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script>
<figure class="gallery-item">
<div class="gallery-icon landscape">
<img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/areklam.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-39">
</div>
<figcaption class="wp-caption-text gallery-caption" id="gallery-1-39">
www.areklam.hu
</figcaption>
</figure>
<figure class="gallery-item">
<div class="gallery-icon landscape">
<img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/arkad.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-40">
</div>
<figcaption class="wp-caption-text gallery-caption" id="gallery-1-40">
www.arkadbudapest.hu
</figcaption>
</figure>
<figure class="gallery-item">
<div class="gallery-icon landscape">
<img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/besttv.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-41">
</div>
<figcaption class="wp-caption-text gallery-caption" id="gallery-1-41">
www.besttv.hu
</figcaption>
</figure>