On Telegram Desktop for macOS, the shortcuts differ. You can right-click a highlighted text, then hover over Transformations to see the available options:
My phone is xiaomi Redmi note 8 with MIUI 11.0.9 . There is no option for create hyperlink :
So I use Telegram desktop or Telegram X for create hyperlink because Telegram X supports markdown. Type url and send message (in Telegram X) or there is an alternate way which is the easiest!
Update
This way works for all phones!
Select the text using Word Editor and click in the three dots on the top right corner of the chat. It is usually used for accessing settings but if you select a text and click there, you can see Telegram's own Formatter!
If you're using iOS and (still, after all these years) don't have the button to create a link you can use this shortcut to create a link with custom text.
URL is taken via "share" action, clipboard if the shortcut wasn't called via "share" menu or requested from user.
The result is put in the clipboard, you just have to paste it into telegram.