Is there an option to create a linked smart object instead of an embedded one when exporting a photo to PS?

No, in LR there is no option to do that – that’s a shame – so you have to do something like this:

1. First in LR do a Cmd S (Mac) or Ctrl S (Win) to save edits back to the file, which will help later.
2. Next do an Edit With, opening the file into PS and essentially creating a document of the right dimensions and with any keywords and other metadata.
3. Save the file at this point – if you don’t, there’ll be a “can’t place file in itself” error in the next step.
4. Then still in PS, choose File > Place Linked and add the raw file. It’ll probably take you through ACR, which should pick up the adjustments from that Cmd/Ctrl S earlier, and you should check that ACR is outputing a 16 bit file.
5. This should open the file as a linked smart object, centred and filling the document space. If not, make sure the resolution is the same in LR’s External Editing prefs and in ACR – so 300 in both cases, or 240 in both.
6. You can now delete the background layer which is no longer needed.

If you now make changes back in LR and do a Cmd/Ctrl S, you’ll see the Photoshop link being refreshed.

I am pretty sure that’s all the steps.

PS:

Conrad Chavez adds: Also, once you’ve got it set up as a linked Smart Object, that makes it possible to send the edits back to Lightroom Classic. If you edit the linked raw Smart Object in Photoshop by double-clicking to open it in Camera Raw, Camera Raw writes the edits back to the external metadata. Which means, back in Lightroom Classic, you can select that photo and choose Metadata > Read Metadata from File, and that will update the original raw file in Lightroom Classic.