Not sure if it is correctly rendered by all clients, but you can try wrapping the links in < and >.

<https://en.wikipedia.org/wiki/River_(typography)>

... becomes

https://en.wikipedia.org/wiki/River_(typography)

It is referred to as autolinks in the CommonMark specification.

Does this only apply when using the Hue integration in Home Assistant, or does it also apply when the devices are connected via Zigbee? Do they require you to use the Hue mobile app for the initial pairing?