Hm... I think I would install Themeify, find out using the Developer's Console in your browser what the CSS selector would be for the pull-down menu and then to use CSS trickery to insert a link there.
The other route would be to create a plugin which injects the link in that menu by merely having a CSS stylesheet which does this or JavaScript.
It's not hacky, it's used for a variety of different use cases - web icon fonts are a prime example and it's used in Octoprint for the fontawesome icons. However, you cannot create new HTML tags in the content CSS property as described in the CSS spec https://www.w3.org/TR/CSS21/generate.html#propdef-content
Generated content does not alter the document tree. In particular, it is not fed back to the document language processor (e.g., for reparsing).
It is possible to create a link in the content property like so
.item {
content: ' ' attr(data-href);
}
However it can only access the parent elements attributes, and you cannot change them with CSS.
Anyway, hopefully a simple feature like custom menus will get included eventually.