Went ahead and did it anyways for ya! Because I was curious myself! Works like a charm.
In your target list, create a Hyperlink column and name it whatever you'd like.
Create an int variable for the Task ID (This is at the bottom of the Assign a Task Action

Create a build string action and use the static URL to tasks on the task list.
Change "Workflow%20Tasks" if you've renamed it to something else, but that one is default. Set the ID = to the name of the variable above. Add a "," after and whatever you put next will be the name of the link

Use a "Create List Item" Or an "Update List item" action to write the URL (varTaskLink above) to the target list

Target list now has URL to task

