I believe you can link to arbitrary files using the file:// scheme, e.g. [myfile.xyz](file:///path/to/myfile.xyz). Clicking the link will open the file in whatever the default program is.
It’s cumbersome to write these links however, and using absolute paths leads to issues if using it on multiple computers. I wrote a short Alfred (macOS only) Workflow that allows you to select a file in finder, trigger the workflow, and it will copy [myfile.xyz](file:///path/to/myfile.xyz) to your clipboard.
P.S. posted from phone, pardon any mistakes in links or formatting.