Hi, You could do this by selecting the "Source only mode" checkbox and writing html source in the paragraph rule which uses "pyMessage" property from the primary page. Also you could have a parameter set on the section containing the paragraph and have it called as param.nameofparameter in the source mode. Both these cases you can have the values set dynamically for the hyperlink in a preprocessing activity.
The above approach using the source only mode worked for me.
Just one more thing to add over here, the tags would get messed up if we uncheck the "source only mode" option. So to implement the above scenario it would be better to create a new paragraph rule which would refer only the URL code. This made the main paragraph to be edited in design mode(which was delegated to the client).