Nope. If you want to use Markdown in Notes, try the ProNotes extension -- Markdown is available in the free version.
Otherwise you are (I think) going to have to bring up the "Add Link..." dialog, put the URL in the first field, text in the second, and hit the "OK" button:
How you work that into @ComplexPoint's excellent Copy as Markdown Link macro is, as they say, "an exercise for the reader" 