(aka URI or protocol handlers)
First released with WordPress version 3.3, December 2011, the wp_allowed protocols() function/feature.
You can only link with the following:
- fax
- feed
- ftp / ftps
- gopher
- http / https
- irc
- irc6
- ircs
- mailto
- mms
- news
- nntp
- rtsp
- sms
- svn
- tel
- telnet
- urn
- webcal
- xmpp
(list as at WordPress 5.6)
Yes, you can program around the limitation by customising your WordPress installation.