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Assigning hyperlinks to items in the legend is not yet available in Tableau Desktop.
You can post in our Ideas section in order to get it implemented. The more votes you got the better chances you have to see it implemented.
At the moment you can set up this function by adding a URL action to a dashboard or worksheet only.
A URL action set to run on a menu selection will show a URL in the tooltip when users select a mark in the view.
The following articles offer more information on URL actions:
Hope this help
Thank you Sebastian!
Might there be a way to place cascading information like the legend into the dashboard itself, or link it to another dashboard that will allow hyperlinks? (maybe have button on the dashboard that takes you to another one that will have the data that is hierarchical, and hyperlinkable?)