The following Markdown, with my render-link render-hook shows what links that work on GitHub can be made to work with Hugo as well, from the same Markdown.
As I have mentioned to @iaeiou, my render-link is probably more complex than you want to use yourself (it’s intended for ‘blackbox use’, not creating forks and/or copying and modifying), but perhaps it can help you see how to make the different types of link work.