Can you have symlinks across various backup disks/ volumes?
Yes, symlinks can be pointed anywhere. They’ll only function correctly when the destination is mounted, but that’s to be expected.

Something which might not be expected is if for some reason the path doesn’t match. The most likely reason would be if an incorrect mount occurred previously or two partitions have the same name, causing one partition to mount as /Volumes/Name (1), which won’t match what your symlink is looking for. If something doesn’t seem right, check everything is in order in your /Volumes folder.