I don't think this is possible, but I too wish it were. I hate the fact that you can't copy a link from Messages without it opening a preview. That means if you've been forwarded a link with trackers, it's impossible to remove the tracking bits before opening. Not good!
When you long-press a link, there's a button at the top right corner that says "Hide preview". If you press it, previews will stop opening automatically everywhere.