Udemy's text editors seem really basic. They allow you to edit HTML by the looks of it but that seems a bit finicky. Their URL's redirect everywhere. It seems like the short answer is no, you can't create anchors.
It'd be great if they expanded on their WYSIWYG editor and allow a bit more HTML though (or even implement BBCode or something as they should for security.) It would significantly increase the uses for 'article' based learning I think.