I'm at work, on a work computer, so can't fully test, but yes.

I saved this as test.md, opened it in notepad, clicked the link, and it popped open a command line:

[Click me](C:/Windows/System32/cmd.exe)

Can definitely go further than this; just a quick test.

To be fair, though, it's not just a click -> open/run. The user has to `ctrl+click` and will see the source of the link (at least I do).