I've encountered this question before 12 was released. In version 11, I was able to do this to a limited degree.
And then generated a PDF. I could click the text with the PDF open in Adobe Reader and the link would open. The text itself didn't look like the typical underlined text of a typical hyperlink.
I have not tested this in version 12 to see if there are any changes, but I am not aware of any new capabilities with the release of 12 in this area.