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With the measurement of the electromagnetic (EM) counterpart, a gravitational wave (GW) event could be treated as a standard siren. As a novel cosmological probe, GW standard sirens will bring significant implications for cosmology. In this paper, by considering the coincident detections of GW and associated $γ$ ray burst (GRB), we find that only about 400 GW bright standard sirens from binary neutron star mergers could be detected in a 10-year observation of the Einstein Telescope and the THESEUS satellite mission. Based on this mock sample, we investigate the implications of GW standard sirens on the interaction between dark energy and dark matter. In our analysis, four viable interacting dark energy (IDE) models, with interaction forms $Q=3βH ρ_{\mathrm{de}}$ and $Q=3 βH ρ_{\mathrm{c}}$, are considered. Compared with the traditional EM observational data such as CMB, BAO, and SN Ia, the combination of both GW and EM observations could effectively break the degeneracies between different cosmological parameters and provide more stringent cosmological fits. We find that the GW data could play a more important role for determining the interaction in the models with $Q=3 βH ρ_{\mathrm{c}}$, compared with the models with $Q=3βH ρ_{\mathrm{de}}$. We also show that constraining IDE models with mock GW data based on different fiducial $H_0$ values yield different results, indicating that accurate determination of $H_0$ is significant for exploring the interaction between dark energy and dark matter.