You cannot make a link that opens in a dialog. To do that you would have to make a landing page that you linked to with the target URL in an URL query string parameter. On this landing page you had to have code to read the URL query string to get the target URL and open it in a dialog.
I do however think this would be a bit complicated just to have the link open in a dialog.
What you could do instead is to add a Source parameter to the URL to ensure the user is redirected to your preferred page after they save or cancel the form.