I’d look into using https://help.obsidian.md/Extending+Obsidian/Obsidian+URI for something like this. e.g. [annex](obsidian://open?vault=annex) will open the “annex” vault when clicked.
For a desktop shortcut on Windows, you can right click on the desktop → New → Shortcut → paste obsidian://open?vault=annex → give it a name → save → rejoice!
