Yes, sheet.codes supports links in both HTML markup and rich text links.
If you prefer to write out the HTML yourself, simply paste the HTML into your spreadsheet cell and use sheet.codes shortcodes as normal.
For rich text links like the below example, all you need to do is add an attribute to your shortcode, type=link.
So, your full shortcode will look something like this:
For more on shortcodes, read our full guide on shortcode notation.