actual foreign key constraints cannot expand to objects outside of the existing database.

you could potentially create a user defined function that is used as a CHECK CONSTRAINT, which checks if the data matches the cross database criteria, but if the other database was no longer accessible(network errors,security issues, linked server credentials being invalid, double hop issues), or the data on the linked server changed due to a restore, the check constraint would only be preventing new rows from being added, and maybe raise an error during an update, both of which could prevent data from being saved.

probably not what you want.