I had requested this functionality when gkpi first came out, but it got marked 'nofix' (S0398520). I would suggest contacting SAS tech support, and letting them know you're interested in this capability - if they know there's enough customer-interest, that might help justify adding this feature in the future.
In the meantime ... the only work-around I know of is to run gkpi and let it create the kpi in an image, and then annotate that image onto a traditional SAS/Graph (proc gslide might be convenient), and use the 'html' variable in the annotated image to implement the html hyperlink. This is kind of a round-about "ugly" way to do it (and quite a challenge to get everything "just right"), but it's the only way that comes to mind.
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