No, not really.
It's possible to do it for specific cases - if this is a website for example, you could wrap the executable name with the HTML for a link:
<a href="https://www.codeproject.com/">CodeProject - For those who code</a>
And you could embed that in your DB instead of "just the name". Then when it's displayed, teh browser generates a link automatically.
But ... that would only work on a web page - all you'd get on a WinForms app with be a bunch of HTML instead of the name.
And treh DB side should be completely independent of the presentation medium, which means storing HTML to solve a problem is a bad idea at best even if it does work for this app!
Instead, store the app name and a URL separately in two different columns of your DB, and get your presentation software to handle generating links from them. It'll save you a lot of heartache later!