I'm not sure if this is what you are looking for but when you are in your project in the project portfolio you can add a column called Issue Link. When you create a new entry this field will be blank. When you clink this field for the new item you have just created you'll see an option to create a JIRA item to the Agile project. If you do this and new item will be created in the Agile project and the items will be automatically linked.
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