You can specify the database name before the table name in query as below
SELECT
*
FROM
[yourdatabase1].[jajal].[j]
NATURAL LEFT JOIN [yourdatabase2].[jajal_copy] jc
WHERE
jc.user_id IS NULL
UNION ALL
SELECT
*
FROM
[yourdatabase1].[jajal].[j]
NATURAL RIGHT JOIN [yourdatabase2].[jajal_copy] jc
WHERE
j.user_id IS NULL
you can user servernames for different servers as
select
*
from
LocalTable,
[OtherServerName].[OtherDB].[dbo].[OtherTable]