Passing HTML in WordPress Shortcode arguments

You have used the same quotation characters in 2 different contexts. You should write the shortcode in the following way:

[example text="<a href="http://example.com">lorem</a> ipsum"]Lets roll[/example]

Then, “unescape” HTML entities on the shortcode output:

$return_string = '<div class="some-class">'. html_entity_decode($text) . $content .'</div>';