How to connect notes with links in Notes.app?
There is a workaround. You select the note, then choose the Collaboration button not the Sharing one as you might expect. Then you get a list of ways you can share the note and one of them is Copy Link. You'll have to then enter any e-mail address before the Share button becomes active.

After you click it, note will become shared. To get the link to this note, click Collaboration button again and you will see button 'Copy Link'. Click it and then you can insert copied link into another note or wherever you want to.