Salesforce Apex lets you use external IDs

@isTest
public class WowThisWorks {
    
    @testSetup static void insertSampleData() {
        Lowest__c l = new Lowest__c(External_ID__c='L01', Name='L 0 1');
        INSERT l;
        
        Middle__c m  = new Middle__c(External_ID__c='M01', Name='M 0 1', Lowest__c=l.Id);
        INSERT m;
    }
    
    static testMethod void runTest01() {
        Middle__c mFake = new Middle__c(External_ID__c='M01'); // THIS IS THE MAGIC
        
        Highest__c h = new Highest__c(Name='H 0 1', Middle__r=mFake); // NOTE THE __r INSTEAD OF __C

        Test.startTest();
        INSERT h;
        Test.stopTest();
        
        Highest__c hAfter = [
            SELECT Name, 
            Middle__r.Name, 
            hAfter.Middle__r.Lower__r.Name 
            FROM Highest__c 
            LIMIT 1
        ];
        String concat = hAfter.Name + ' ~~ ' + hAfter.Middle__r.Name + ' ~~ ' + hAfter.Middle__r.Lower__r.Name;
        System.assertEquals('H 0 1 ~~ M 0 1 ~~ L 0 1', concat);
    }
    
}