In one statement: No.
In one transaction: Yes
BEGIN TRANSACTION
DECLARE @DataID int;
INSERT INTO DataTable (Column1 ...) VALUES (....);
SELECT @DataID = scope_identity();
INSERT INTO LinkTable VALUES (@ObjectID, @DataID);
COMMIT
The good news is that the above code is also guaranteed to be atomic, and can be sent to the server from a client application with one sql string in a single function call as if it were one statement. You could also apply a trigger to one table to get the effect of a single insert. However, it’s ultimately still two statements and you probably don’t want to run the trigger for every insert.