Following my initial question, it turns out this is much easier than imagined. Just focus on the annotation and press Command/Ctrl + C in Zotero PDF reader, the annotations and notes (if any) with deep links are copied to the clipboard. The trick is on the pasting part, you will need to paste the text as plain text to be able to see the links. For text editors that paste text to plain text by default, the markdown links are immediately available (e.g. like below), one can even use drag and drop to do this, whereas for editors like Agenda or Obsidian, pasting as plain text is needed.
“All patients had a complete ophthalmic examination including ...” ([XXX et al., 2016, p. 111](zotero://select/library/items/MGZ4JFEN)) ([pdf](zotero://open-pdf/library/items/WFQLFARS?page=2&annotation=5B8HC5QX))