I would not recommend doing that.
This would be a hack.
There is no option inside WordPress to do so yet. That would be perfect.
I know there is a filter
https://codex.wordpress.org/Plugin_API/Filter_Reference/login_url
but if this works for you let me know.
And there are plugins that use the redirect hook like here.
You can check the code.
They need to do several things so not super easy.