you may run an export ^%G like on the remote server and then copy somehow the result

It's an orgy of IsDefined ($DATA) and GetNext( $ORDER) as equivalent of $QUERY is not implemented 

sorry, Insert() is only for the "MANY" side of the Relationship

You just can insert existing IDs.
So you have to check first:

set emp=##class(Contatos.Empresa).%OpenId(IDt)
if $isObject(emp) Do objcontato.Trabalho.Insert(emp)

Instead of Set  
Set objcontato.Trabalho=##class(Contatos.Empresa).%OpenId(IDt)  
you need to use method Insert()
Do objcontato.Trabalho.Insert(##class(Contatos.Empresa).%OpenId(IDt))  

See Docs

My 4rd Choice:

• as you have access export the Global to a file
• copy the file using SSCP  

My 3rd Choice:

• get a network file connection to the source DB
• mount the DB over the network as remote drive 

mixing file systems Win / *UX  might be tricky

My Second Choice:

• connect to the server over SQLgateway (Odbc, Jdbc).
• use Global Dump to SQL

My First Choice:

• use ECP  to mount a Remote DB.
• copy the Globals 

Now it is obvious that ^realglobal has 11.3 times the size of ^testglobal
while your ^testglobal seems to have all blocks in buffers in memory
this is rather unlikely for ^realglobal.
So repeated reloading of blocks from disk seems to cause the delay
If you have the chance to double or triple your global buffers
you most likely may see improved processing of your $O()

How do you recognize LOCKED items ?
How do you LOCK items ?

BTW:  check consumption of IRIS Licenses

Follow up to @Dmitry Maslennikov:
Error on IRIS side:  ACCESS DENIED  ODBC can't connect ===> timeout
Why  ACCESS DENIED ? The most likely cause

• you run multiple ODBC connections in parallel
• you use the same fixed USER for access to IRIS
• maximum license slots by user is ~25
• once you pass the limit your 25 slots get converted to 25 single licenses
• any further connection consumes a full license 
• until you run out of available licenses ==> ACCESS DENIED
• you can get out of that trap only if ALL connections of that user are closed 

You can avoid this by

• limiting your ODBC connections below 24
• or run your ODBC access in  serial mode
• or use multiple users for access with limit <24

Muchas gracias ! 
Thank you all! 
400+ years back when my earliest documented ancestor was born
Spain+Austria was a World Wide Empire ("Casa Austria", Emperor Carlos V.) that ruled the globe.
I feel quite familiar with you.
Robert 

if you want to take a look behind the scene try this example
Character-Slice Index
Quick Summary:

• [ looks for any character(s)
• %CONTAINS looks for words (separated by blanks or punctuations)