I've been looking for some time already and seems like that option doesn't exist, or no-one talked about it. Is there any way to create them? (Windows)

It's just a web address. 

For example:

https://www.evolutionary.co.za/facematch.html  (links to my website)

or

https://evolutionarygames.itch.io/face-match  (links to my itch.io page)

Sorry, i though it was obvious that i wasn't talking about the games in the website. I'm asking about shortcuts for the downloaded versions of the html5 games in the itch app. (That's why i asked in the "itch app development" category :) )