I think it is fine, so long as those websites or other elements don’t have content that goes against the rules (is bigoted, hurtful, hateful, or unkind) or could expose players to any kind of danger.
It’s definitely an interesting idea worth exploring, where gamebooks meet ARGs perhaps?
To be clear: any kind of gameplay (or things that aren’t gameplay) is welcome, you don’t need to follow any gamebook conventions at all, just be considerate of your players/readers/audience :)