(Changed title from “Integration md file from backlinks by dragging or shortcut!” to “Drag & drop notes from backlink pane” for clarity.)
Drag-to-link has been implemented (on desktop only 
), so it seems unlikely that this request will be. But I think a context menu entry would be nice, and that would also allow the related preview-block request.
In the meantime, a possible workaround is to use the drag-to-link feature and add an exclamation point to change the link to an embed.
EDIT: Changed title again, from “Drag & drop” to the more generic “Copy”, to allow more freedom of implementation (and because I really don’t think this is going to replace the existing drag & drop behavior).