You can't. expdp only works locally. The database link is just a kludge to make the Oracle instance on your current machine be able to see the data in the other database. If you truly need a remote back up, your only non-custom or third party option would be exp, but that's deprecated. (I'm not aware of any third party solutions, either.)
Another option to consider is running the command on the remote server and then using something else to copy the file. This is more feasible if you run a Linux server, since you can likely use SSH and SFTP.
You could try Oracle Express on your local machine if you want to pursue the database link option. That is a very heavy solution, of course.
(In all honesty, I have had endless troubles with expdp anyway. Well, more with impdp, but still. The data dump/restore situation in Oracle is not very good, in my opinion.)