There is no OOB way to do this. You could try putting a URL field on the form and fill it with the URL of the record and export it in the report, or create an email script to do the work for you and create a table with the records as URL and send it like that.

Note: every report that is emailed is old before it reaches the recipient. The system has the most up to date data, so ask yourself where this requirement is coming from. If you have such lazy people that they need to get an email with links to records to have them perform their job (what they are paid for), I think your problem is not the system not being able to have links in reports. There is a people problem and solving that with technology is never a good idea.

Create a dashboard, put the work on their and schedule an email with a link to the dashboard so they can just do what their boss is expecting them to do.