Some terminals already detect URLs by pattern and make them clickable. You could also add an escape sequence to create the annotation you describe, then modify a terminal app to support the sequence. However, terminals don't always display trusted data, so it's very risky to add escape sequences that do anything more than display formatted text.

For example, there are sequences defined to change the title of the terminal window or print to a printer, but they are frequently disabled or left unsupported for security reasons.