Presently I can only paste a URL into a comment and the word processor chooses what title to say in red.
How do I add my own title to the link ?
This confused me too, because the style of link used by the graphical user interface tool in questions and answers creates a footnote style link that does not work in the comments. Hypertext Markup Language does not work either, so you need to use inline markdown links, which I suppose makes sense given the relatively short and transient nature of comments.
Inline links are written with square brackets enclosing the text, and parenthesis enclosing the U.R.L., like this:
[Hey! Visit Stack Exchange!](https://stackexchange.com)
The result of typing that into a comment should be like this:
You can read more about Markdown formatting options in the help center, and details about what hypertext markup language can be used in Stack Exchange posts at Meta Stack Exchange.
[Hey! Visit Stack Exchange!](https://stackexchange.com "Visit SE")
will add a tooltip. It might work in comments: let's see... Hey! Visit Stack Exchange!