The best way to handle this issue is to dial out to the external number in a new conversation window, not from inside the conference.
1. Join the internal Lync Meeting, then put the meeting on hold.
2. In a new conversation window, dial-out to the external meeting and enter any necessary digits to join the external meeting.
3. From the external meeting conversation window, click the "People Options" (The icon that looks like two people) drop-down and select the conference call under "Merge this Call Into...".
4. The two calls should Merge and join the internal Lync meeting with the external meeting.
I have encountered this same issue before trying to dial-out from a conference to someone without a DID.
Best Regards,
Jamie Schwinn