I am guessing that you are looking at code generated by wp_list_categories()
based on the class names, but I can’t say for sure.
If that is the case, then the link is probably generated here:
$link = '<a href="' . esc_url( get_term_link( $category ) ) . '" ';
Meaning that you could probably alter it with this filter:
$termlink = apply_filters( 'category_link', $termlink, $term->term_id );
Proof of concept:
function alter_category_link($termlink) {
return 'abcdefg';
}
add_filter( 'category_link', 'alter_category_link');
wp_list_categories();
Alter the link to what, I have no idea. You don’t specify.