Newer version of GNOME terminal now support hyperlinks with custom target via certain escape sequences. Try
echo -e '\e]8;;http://example.com\aThiscom\e\\This is a link\e]8;;\a'link\e]8;;\e\\'
Opening these works the same way as described in the answer by Stephen Kitt.
See also: https://gist.github.com/egmontkob/eb114294efbcd5adb1944c9f3cb5feda