As it turns out. Yes.
And there's an easy way to check (on Mac).
Check out this answer: https://stackoverflow.com/questions/49510/how-do-you-set-your-cocoa-application-as-the-default-web-browser/49512#49512
All we need to do is go to our application's info.plist and search for CFBundleURLName.
And what do you know? There's stuff there!
This is what I found there:
"wolfram+helpreference"
"wolframmathematica+helpreference"
"wolframmathematica+cloudobject"
"wolfram+cloudobject"
I dunno if this works for Windows or Linux, but for me this:
CloudExport["<a href=\"wolfram+helpreference://ref/Print\">link</a>",
"HTML",
Permissions -> "Public"]
Opens the Print
ref page on my local machine. The wolfram+cloudobject version seems to import from a full cloud object URL (alas wolfram+cloudobject://www.google.com just beeps at me rather than importing the web page).
But this is (I think) definitively cool.
Now to scrape all my plists to see what other magic is out there...