I wonder if the export of your WordPress blog has these links static inside of the markdown already or if they are missing from the export. In that case I can say without being bashed that you have to link them yourself
But jokes aside: You should read up on regular expressions and then run the content of the page inside of your template through a loop. I can think of a way where you put potential vocab and the links they should point to in a data/-file and then loop the {{ .Content }} in your template through the list. The disadvantage is that this will have quite some impact on the speed of Hugo to create your page. The more vocab you have the slower.
This will be hard. Something like filters in WordPress is not available in Hugo to my knowledge.
I do it by adding the links myself. In that case again know that there are nice functions that keep links current should you change the folder or link structure: