Unfortunately, video files cannot contain links. Most of the clickable links you see in online videos are added as an additional layer by platforms like YouTube and Facebook.
Due to this limitation, you cannot use Lumen5 to add clickable links to your videos. However, once you share your video to platforms like YouTube or Facebook, you'll be able to overlay clickable links through the options they provide.
We have a blog post to help with that for most major social sites! Check that out here: Learn how to create clickable links