Link inside plugin options/page

You should read some of these functions: admin_url

You cannot have direct links in admin menu items.You must pass a callable function when adding the menu item. The function should display the admin screen related to the menu item. You could redirect the admin screen to elsewhere. You’d need to use JavaScript to do so, for example <script>window.location('https://example.com');</script>
wp_redirect() and other PHP methods will not work from admin menu callbacks.

Alternately, capture the click event for your menu item using jQuery and redirect to the final destination before the passed callable is even able to execute.

Ideally IMO is to have your callback function actually display and do whatever the final destination would have done. You can include or require another PHP file from within the callback if that is any easier.

You can do custom authentication in addition to or instead of WP authentication. Use the “authenticate” filter to do this. Return a WP_Error object to fail an authentication, return the passed object or value to let WP do its usual authentication, and return the proper WP_User object to authenticate the login.

Ok, I see that I was not very clear on my question ??

My admin menu is owrking fine. I’m using a callback function and creating a page for admin user. This page display a database table (using ‘datatable’ library). But inside this table, I need to create some links to edit this rows. These links are pages inside my plugin……but I’m pretty sure I can’t simple create an ordinary link to my plugin PHP file.

That I need to know is how to create and how to link an PHP page inside my plugin. I know that I can use add_action('admin_menu', 'wporg_options_page'); to create a menu item, and this item will use my callback function to render html (generated by this callback function).
But imagine that my menu item generates a page using functionY. This function render an html and inside this HTML I need to create another link that shows me a second page (inside my plugin). This second page is probabily rendered by another function, right? but how is the right way to create and render this second page?

Well, you simply output a link.
<a href="<?php echo plugin_dir_url( __FILE__ ) . 'my-plugin-edit.php?row-id=' . $row_id; ?>">Edit</a>
You can style the link to look like a button, or replace the link text with an icon image. My example passes a row-id value so your code knows what row should be altered. I’m assuming $row_id is assigned the proper value somewhere.

But that may not be enough. If the target PHP file needs to use WP functions, you cannot directly request a PHP file like in my example. The request has to be channeled through WP so that the WP environment will be initialized. The easiest way to do this is to utilize a custom page template and link to a WP page using the template. This is not a good option for plugin devs though.

Another way to initialize the WP environment is by using Ajax techniques. But if you need to completely reload a page anyway, Ajax doesn’t make a lot of sense. The other option is to send requests through /wp-admin/admin-post.php. This is very similar adding admin menu pages where you utilize a function to generate all page output, except you output all HTML, not just the admin screen content. Your function would likely want to call get_header() and get_footer() so that output is themed.

Using admin-post.php is similar to Ajax in that you must pass an “action” value which is used to construct an action hook tag. Your plugin code then hooks its output function to this action tag. Despite the name admin-post, you can also send GET requests. So the above link example would be more like
<a href="<?php echo admin_url('admin-post.php?action=my_plugin_edit&row-id=' . $row_id ); ?>">Edit</a>`

For this example, your plugin would add its output function to the action “admin_post_my_plugin_edit”. Your code can get the passed row ID from $_GET['row-id']. I’ve not involved any security measures here. This must be done before your code goes live. This includes passing and verifying a nonce, checking the user has the right role or capabilities, and validating passed values like row-id.