You can simply drag the message from Mail.app to a folder to create the link you want. The link that is generated is automagically named using the subject line of the email message. Yes, there are many such situations where Mac OS will do the natural thing.
You can also drag any message to TextEdit.app (as long as it's to an RTF document). Sadly, I haven't gotten this to work with Pages '09, but TextEdit isn't that bad. The same is reported to work with Stickies. See this link for a stickies example.
Here is another approach:
In Mail.app, on the message that you'd like to link to, select
View->Message->All Headers
(or ⇧⌘H)
and look for the a line that begins with Message ID. Copy the text to the right of "Message ID" and use it to link to that message via
message://<copied-messageid>
. Make sure to copy the < and > along with the rest of the id. I've tested this and it works with Safari.app as described in this article on MacOSX Hints.
This is not possible on iOS 13 and lower. (Or iPadOS 13 or lower)
In order to utilize email functionalities from within apps, you will have to enable the Apple Mail app. I recommend turning off all notifications for Mail if you want to use the Gmail app as your primary iPhone mail client.
Best Answer
Since you can't choose a default browser other than Safari (without a Jailbreak) it is the normal behaviour.