It's possible you're trying to add a link to a blank space. The 'add link' feature is supposed to be a word
(or an address that you are going to use as the link such as http://www.jotform.com
The 'Thank You' page is html, so you can also code it.
I have successfully done this by creating the text in a Free Text (html) field (find it under Power Tools) and copying the result to the Thank You page.
The code is:
<a target="_blank" href="http://www.linkaddress.com" rel="nofollow noopener" target=”_blank">word_you_want_to_use_as_the_link</a>
This will open the link in a new page.
I also tried creating a link using the "add link" icon by highlighting the word to link, clicking "add link", entering the URL, selecting open in 'New Page" and it all seemed to work.
Perhaps you hadn't entered a word as the link.
Don't forget to delete the Free Text from your form if that's how you did it!
Hope that helps.