Hello @Antoine ,
I was able to write a link to the file with no issues using the following code:
#%%
import xlsxwriter
#%%
workbook = xlsxwriter.Workbook('filename.xlsx')
worksheet1 = workbook.add_worksheet()
worksheet1.write('A1', 123)
worksheet1.write_url('A2', 'https://www.python.org/')
workbook.close()
What error do you have?