Yes. Make sure you wrap the text you set for the custom field's help display setting in html tags.
<html>Custom item field help with a link. <a href="https://www.example.com">Web site</a></html>
As mentioned in the help for Setting Display Options for Custom Fields:
In the Help field, enter a brief description of the kind of information you want entered in the field.
The help is available when the name of the field is clicked.
You can enter HTML in the field. Be sure to begin your markup source with
<html>
and end with</html>
.