How to add wechat (weixin) link to navigation menu?

Filter kses_allowed_protocols (wp-includes/functions.php wp_allowed_protocols) to add your protocol:

add_filter( 'kses_allowed_protocols', function( $protocols ) {
    $protocols[] = 'weixin';
    return $protocols;
});

The default values are ‘http’, ‘https’, ‘ftp’, ‘ftps’, ‘mailto’, ‘news’, ‘irc’, ‘gopher’, ‘nntp’, ‘feed’, ‘telnet’, ‘mms’, ‘rtsp’, ‘svn’, ‘tel’, ‘fax’, and ‘xmpp’.