function GetReplayLink(roomName, tick = Game.time, msg = "Replay"){
    return "<a href='https://screeps.com/a/#!/history/" +
           Game.shard.name + "/" + RoomURLescape(roomName) +
           "?t="+ tick +"'>" + msg +"</a>";
}

function RoomURLescape(roomName){
    let mapping = {N:"%4E", S:"%53", E:"%45",W:"%57"};
    let out = "";
    for (var i = 0; i < roomName.length; i++) {
        let c = roomName[i];
        out += mapping[c] || c;
    }
    return out;
}

If the room names aren't escaped the supposed server side "regex replace" kills your custom HTML links.
However please keep in mind that this function only works for URLs and isn't suitable for anything else.

hf

// to-string.ts
function roomToString(this: Room): string {
  return `<a href="${this.replayLink()}" style="color:#9c05a6ff">${this.htmlName}</a>`;
}

// replay-link.ts
interface Ext {
  replayLink: typeof replayLink;

  /** Room name with HTML entities replacements to avoid it getting broken in notifications */
  get htmlName(): string;
}

declare global {
  interface Room extends Ext {
  }
}

Object.defineProperties(Room.prototype, {
  htmlName: lazyGetter('htmlName' satisfies keyof Room, function htmlName(this: Pick<Room, 'name' | 'htmlName'>): string {
    return escapeName(this.name, HTML_MAPPINGS);
  }),
  replayLink: confValue(replayLink),
} satisfies TypeDescriptorMap<Ext>);

function replayLink(this: Pick<Room, 'name'>, tick = Game.time): string {
  return `https://screeps.com/a/#!/history/${Game.shard.name}/${escapeName(this.name, URL_MAPPINGS)}?t=${tick}`;
}

const URL_MAPPINGS: Record<string, string> = {N: '%4E', S: '%53', E: '%45', W: '%57'};
const HTML_MAPPINGS: Record<string, string> = {N: '&#78;', S: '&#83;', E: '&#69;', W: '&#87;'};

function escapeName(roomName: string, mappings: Record<string, string>): string {
  let out = '';

  for (let i = 0, c: string; i < roomName.length; i++) {
    c = roomName[i]!;
    out += mappings[c] || c;
  }

  return out;
}