Wrap is not working after dynamic load, why?

The wrap(); works well on its own, but after it is called after the load();, it doesn’t.

What could be done to make it work? I tried to put the wrap(); code inside a separate .js file, but that didn’t work. I also tried to load the wrap(); inside: $( window ).on( "load", function() { ... }) and then place it inside the footer of the html, which didn’t solve the problem either.

Here is my code:

$('.page-id-202 #partner, .page-id-201 #partner').load('https://webhelytervezo.hu/ #gallery-1');
         $(".gallery-item").each(function() {
  $(this).wrap($("<a/>").attr("href", "http://" + $(".gallery-caption", this).text().trim()));
    $("#gallery-1 a").attr('target','_blank');
});
figcaption{
display: none;
}
<script src="https://cdnjs.cloudflare.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script>
<div id="gallery-1" class="gallery galleryid-9 gallery-columns-3 gallery-size-full"><figure class="gallery-item">
            <div class="gallery-icon landscape">
                <img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/cup_revolution_logo.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-49">
            </div>
                <figcaption class="wp-caption-text gallery-caption" id="gallery-1-49">
                www.web.cuprevolution.eu
                </figcaption></figure><figure class="gallery-item">
            <div class="gallery-icon landscape">
                <img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/areklam.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-39">
            </div>
                <figcaption class="wp-caption-text gallery-caption" id="gallery-1-39">
                www.areklam.hu
                </figcaption></figure><figure class="gallery-item">
            <div class="gallery-icon landscape">
                <img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/coca_cola.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-48">
            </div>
                <figcaption class="wp-caption-text gallery-caption" id="gallery-1-48">
                www.coca-cola.hu
                </figcaption></figure><figure class="gallery-item">
            <div class="gallery-icon landscape">
                <img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/arkad.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-40">
            </div>
                <figcaption class="wp-caption-text gallery-caption" id="gallery-1-40">
                www.arkad.hu
                </figcaption></figure><figure class="gallery-item">
            <div class="gallery-icon landscape">
                <img width="200" height="74" src="https://webhelytervezo.hu/wp-content/uploads/2022/01/besttv.jpg" class="attachment-full size-full" alt="" loading="lazy" aria-describedby="gallery-1-41">
            </div>
                <figcaption class="wp-caption-text gallery-caption" id="gallery-1-41">
                www.besttv.hu
                </figcaption></figure> 
        </div>