That is very absurd way of doing it, because essentially when you are reading an e-book, you are using an application/software to do that so lets say when you are reading a PDF in a PDF reader then you cannot add a hyperlink to a PDF to open in the PDF (if that makes sense), what you can do is add link to the file and then it gets opened in a reader (as separate file) which is basically like hyperlinking to a link.
It is like saying can a text file open another text file? (Answer is NO) because a text file is primarily dependent on a Text Reader to open. And hence an e-book is a file not an application
Another way of seeing at it is an e-book cannot open or read or run an e-book, but e-book reading software/application can do.
To make more sense, when you simply browse in your mobile phone, then you do notice that certain links open in certain applications installed in the mobile phone (Like play.google.com links open in Play Store application automatically). Similarly when you click on a hyperlink (of some website) within some application then it opens up in a browser if there is no dedicated application for that to open/read it.
e-book cannot link to a file (another e-book) to open it because that is an application/software's functionality (interacting with running OS on a target device) and e-books aren't made or designed to directly interact or work with OS, they depend on an application
You can explore this conversation for more insights
But if we come to solve your purpose of doing you can look for another approach and explore this