I don’t know of a way to do it. I notice that in Notion there is no “copy image” when you right click. It only copies the link.
I do know that this is how Obsidian works, so it isn’t a mistake you’re making.
Depends on your OS as well. In MacOS you can take a screenshot of a section of your screen, and it copies it to the clipboard. So it’s very easy to screenshot an image. Then you can paste that into Obsidian, and it makes a new file. I don’t know if there is a similar function in Windows without a 3rd party app.
Otherwise, I suggest searching the forum for “Notion” because there are workflows and tools to export notes into Obsidian. You might have to export/save the notes first, and then import them. https://forum.obsidian.md/search?q=notion%20to%20obsidian
This post seems to suggest that images still don’t work when exporting from Notion.