If you've only briefly dealt with NTFS on linux, you might have noticed that it's possible to create symlinks there, not like the fake "shortcuts", but actual symlinks, that linux read as such.
That may lead the naive mind to think that symlinks are a linux/OS-side feature, and that therefore linux could create symlinks on FAT32. But that's going to be proven wrong on the first attempt.
You can, however, have symlinks on non-FAT partitions pointing to a FAT...