Always try to use the core functions for linking inside custom formatters or modules. The following snippet allows html inside the link text.
use Drupal\Core\Link;
use Drupal\Core\Url;
use Drupal\Core\Render\Markup;
$linkText = 'My link <br> containing tags'; $linkMarkup = Markup::create($linkText); $link = Link::fromTextAndUrl($linkMarkup, $url); $link = $link->toRenderable();