I had this use case where I had to show a label and link to another content type from within my paragraph. Because the theming was specific, I had to get the label and link in twig instead of just outputting {{ content.field_sector }}
{% if content.field_sector %}
<a href="{{ path('entity.node.canonical', {'node': paragraph.field_sector.0.entity.id}) }}" class="btn-primary">
{{ paragraph.field_sector.0.entity.label() }}
</a>
{% endif %}
The trick is to directly getting the values from "paragraph", instead of "content".