If you already have the DestinationGroupItem as a Navigation-property, then you already have your SQL-JOIN equivalent - example. Load the related entities with Include. Use List's Contains extension method to see if the desired DestinationId(s) is(are) hit:
var destinations = new List<int> { 414, 416 };
var query = from order in GroupOrder.Include(o => o.DestinationGroupItem) // this is the join via the navigation property
where order.OrderId == 5662 && destinations.Contain(order.DestinationGroupItem.DestinationId)
select order;
// OR
var query = dataContext.GroupOrder
.Include(o => o.DestinationGroupItem)
.Where(order => order.OrderId == 5662 && destinations.Contain(order.DestinationGroupItem.DestinationId));