This doesn't really have enough information to answer. Are you saying you have JIRA, with Service Desk, and a separate Rally system with stories in it? Have you set up an application link between JIRA and Rally?
Ok. As an agent in JIRA (not the user who raises it, as they have a simplified veiw of the requests), you should be able to use the "link" function on the request to link to the Story in Rally, if the application link is set up to support it. Even if it's not, then the agent can still use the link function and put in the plain https link.
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