Stephen a Shopify Guru here :)
Currently, there is no way to change that link as it would require access checkout page file which is a closed file.
Hope that helps, feel free to drop us a line at email@example.com if you have any other questions.
I am having the same issue. Not sure what the point of having the Buy Button feature for your website, if the checkout button takes the customer back to the shopify store.
And what's worse is, when the'yre brought in to the shopify side, their shopping cart is empty, so it seems there is no communication between Buy Button and shopify storefront?
Hopefully there will be a solution soon for this. maybe a simple property in the theme side? Since we can change the image, maybe we can set a destination as well?