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I think you may be expecting too much from a mobile version of the program. The only way I can think of that might allow you to do this would be to connect your device to a PC or laptop as a storage device, then create the document you want with the link pointed at the location on your device and save the document to the device. From there you can test if opening the doc on the PC and trying the link works, of course while the device is still connected as a storage device. If it works that way try opening it on the device and see if the link works from the device.
The two hurdles I envision are;
Android isn't like a Windows PC where one can open the same app/program 4 times each with individual tabs where it can open the main doc then open a linked doc in the same program or a different one. I haven't been able to think of an instance where I've opened more than one of two similar things on a device. I could picture this working if it were a web address and opening a webpage or something. We've all opened a linked webpage from an email but never an email linked to another email.
The other hurdle I'm thinking is Android's sandboxed design. Apps don't really talk to one another in the traditional Windows sense. This is why you're unlikely to experience a virus on Android because viruses often worm their way in through a vulnerable application then spread to more vital applications and/or the OS. Sandboxing keeps most things in a little pocket this is why we get permission statements when an app needs another app to complete a process. (do you want to use Chrome or Samsung Internet, Just once or Always?)
The only other thing I can think of that may allow you to do this would be a cloud link. This would also mean that you could only use the link when you have internet but if the file were saved someplace like Google Drive, which allows you to create links to files, that link maybe could be embedded and used to open the file. Still not certain that this could be done from a device but it is one more thing you could try.