How to connect notes with links in Notes.app? I have lots of notes and want to connect some of them to each other.

We can add links with CMD + K and I know we can run other apps with links like reminders://.

Is there any URL scheme to create a link to another note like note://noteTitle?
There is a workaround. You select the note, then choose the Collaboration button not the Sharing one as you might expect. Then you get a list of ways you can share the note and one of them is Copy Link. You'll have to then enter any e-mail address before the Share button becomes active.

After you click it, note will become shared. To get the link to this note, click Collaboration button again and you will see button 'Copy Link'. Click it and then you can insert copied link into another note or wherever you want to.