As of Telegram Desktop Version 3.1.1, You can format the your message like:
Create link:
Ctrl + K = this pops Create link field and auto fills selected text on Text
Other useful hotkeys:
Ctrl + B = Bold
Ctrl + I = Italic
Ctrl + U = Underline
Ctrl + Shift + S = Strikethrough
Ctrl + Shift + M = Monospace
Ctrl + Shift + N = Plain Text
Ctrl + Shift + X = Strikethrough