Yes, you can link directly from the dashboard to files within a plugin or theme directory. There are PHP and WP functions you can use to make sure you’re targeting the correct directory:
Themes:
Let’s say you have example.com/wp-content/themes/wpse-theme/example.html, and “wpse-theme” is either the only theme, or the parent theme. You can link to this using:
<a href="https://wordpress.stackexchange.com/questions/360332/<?php echo get_template_directory_uri() ."/example.html'; ?>">Example 1</a>
Or, let’s say you have that same example.com/wp-content/themes/wpse-theme/example.html but “wpse-theme” is a child theme. You would use this instead:
<a href="https://wordpress.stackexchange.com/questions/360332/<?php echo get_stylesheet_directory_uri() ."/example.html'; ?>">Example 1</a>
(The only difference is whether you’re calling the “template” directory (parent theme) or “stylesheet” directory (child theme).)
Plugins:
Let’s say you have example.com/wp-content/plugins/wpse-plugin/example.html. You can link to this using:
<a href="https://wordpress.stackexchange.com/questions/360332/<?php echo __DIR__; ?>/example.html">Example 1</a>
However, this would mean that you’re saving static information on individual client websites. Typically, it’s more common for themes and plugins link to a single support site instead, so that clients are always seeing the latest information and they’re not holding copies of potentially outdated information. There are also a variety of help plugins available, so you might want to look into those if you’d like to use something that already exists.