data vs photo

It's not the same thing, and actually, data.items.link wouldn't return anything, since items is an array, hence you would need to access its properties with an index, e.g data.items[0].link.

data.items is the array you're iterating over, it's what is passed to the $.each() function, so within that, you use the value passed in to the anonymous function. In other words, jQuery takes your array, data.items, and passes each one individually to your anonymous function as "photo" and so within that function, you access any property on the photo with dot notation.

As mentioned in the video, you can use a plain for() loop if you wish, like so:

for (var i = 0; i < data.items.length; i++) {
  var link = data.items[i].link;
  ...
}

but the each() function just provides a shorter way to do that, without having to worry about the index.