Link Preview should remain open when focus is lost, and it should have a manipulatable URL bar.
This can make Link Preview less jarring to use, and give it more functionality.
Preventing Link Preview from closing automatically when focus is lost prevents lost work, or having to re-open a link simply because you took a screenshot and sent it to a friend outside of Orion.
The URL Bar would also allow Link Preview to be more useful as you could do quick contained browsing in a more temporary window/tab.
My general inspiration for this entire suggestion comes from Arc and its Little Arc features. Having external links open in a smaller more focused browser "tab window" is a feature I used a lot with Arc.
In my opinion Orion's Link Preview is already halfway to being "Little Orion" and I would love to see another browser adopt that feature from Arc.