Hi Damian,
This is possible! You need to use the full URL in the Sketch document, for example: https://sketch.com/home. Using the full url will make the text interactive in the PDF.
The URL text will have the same formatting as your document, so if you want your links to be blue and underlined, you’ll need to apply those styles in your document.
What cannot be done is that text is linked to a URL, like this