N=0
while read -r URL; do
data="$(curl "$URL")" || { printf 'error fetching data\n' && exit 1 ; }
prop="$(jq '.data[].someProp' <<< "$data" || { printf 'error parsing JSON response\n' && exit 1 ; }
grep -v "filter" <<< "$prop" > "$N.data" || { printf 'error searching for filter text\n' && exit 1 ; }
N="$((N+1))"
done < ./links.txt
bash also has e.g. functions, so you could abstract that error handling out. Like I said, not that weird.