Dynamic Links in a Power BI Report

There is a way, but it may not be what you want. Basically, create a table in Power BI with two columns. One is your Key column and the other is your URL column. Make sure to tag your URL column as a "Web URL" as the Data Category. Relate this table to another table based upon your Key column.

Now you can create a visual that displays that column in a Table visualization. If you select the appropriate Key from another visualization to which the Key column is related, such as a slicer, then the Table visualization will change to be only the URL column for the appropriate URL. You can create a measure to make this even better, the basic formula is:

IF(HASONEFILTER([Key]),VALUE([URL]),"")

That's the general idea. 

However, if you are looking to create the URL "on the fly", I haven't tried that. Theoretically possible but would depend on your situation.