The value returned from a lookup function is a string. I want that value to be clickable. Any suggestions to make this happen?
you could use a "Build String" to build an anchor tag containing your return value as href property, save it to a variable and use this variable as a clickable hyperlink.
<a href='yourReturnValue'>Click Here!</a>
should be enough.
Are you using the lookup function from a calculated field on a nintex form, or are you attempting to do this within a workflow (solution suggested by Philipp)?
Retrieving data ...