I received this request on the WordPress.org forum:

Is there a way to assign a link to the “location” field? I’d like to list all events for a specific production on a page and have the “location” field linkable to the theatre address.

By default your events look something like this:

Now add the following code to your (child)theme’s functions.php file:

The first parts adds a new ‘Venue URL’ field to the event editor:

The second part of the code wraps the HTML output of an event location with a link to the venue URL: