Use a template grid instead of a data grid. If you browse to the data grids section in design elements on ux.mendixcloud.com, then you will find some samples on the Building blocks tab.
Take a look at the Data Grid Extension widget from the AppStore https://appstore.home.mendix.com/link/app/877/Flock-of-Birds/Data-Grid-Extension-(Flex-Headers)
The last image shows how it can be used to place buttons or links in a grid cell (Inline buttons). This might be what you are looking for