Views Slideshow - How to add link on Pager that can link to original page?
Having a look at the views slideshow code it seems that all the sections of the views slideshow are easily themed.  

In the views slideshow module there is a themes folder with template files that can be overridden.  

Though there is not a template file for the pager, instead there is a function in the file views_slideshow.theme.inc. The function you are interested in is probably theme_views_slideshow_pager_widget_render($vars) and this can be overwritten.  

In your themes template.php copy and paste this function and rename it to MYTHEME_views_slideshow_pager_widget_render($vars), (replacing MYTHEME with the name of your theme).  

You should then be able to modify it in any way you like.