The application that is doing the copying (when you use ⌘C) will typically create distinct pasteboard items in different formats, perhaps for example, 2 or more of:
public.utf8-plain-textpublic.htmlpublic.rtf
The application that is doing the pasting, (or the retrieving from the clipboard) will typically be faced with a choice. It may for example, choose, by default, to make use of the public.utf8-plain-text pasteboard item rather than any public.html or public.rtf which it finds.
Hard, therefore, to be sure of what is happening without knowing how and what you are copying, and exactly what range of formats the copying application is putting in the clipboard.
To obtain a formatted link, you might, for example, be able to delete a public.utf8-plain-text item from the pasteboard, leaving only richer formats for pasting applications to choose from.
Should should be able to inspect what range of pasteboard items are in your clipboard by using a macro like: