@Ben Robinson - There has been at least one other post I have seen on this forum in the past and the consensus was that, no, this is not possible. Looking at the Internal and External Linking help article, external linking only supports websites/URLs.

If this is a feature you hope to one day see, I would recommend adding this as an Idea in the Wish List category by following the guidelines here: Wish List: Everything You Need to Know. If you do create a Wish List Idea post, I would also recommend that you post a link to it back here, so that future readers of this post can quickly get to and vote for your Idea.

We are now three years further, I guess this great and handy feature is now possible?