In addition to the suggested methods from Daniel B, you can create the links as simple shortcuts in the "Sharepoint Sites".
You can create links to folders or document sets, in addition to libraries. When I create them, I usually drag a shortcut from the folder/library icon in file explorer. This creates a file (webdav) link instead of the usual internet link, but it seems to work just the same.
These can probably be created and managed centrally, by means of GPO, scripting, copying etc. Although I am not sure if they are resistant to the periodic purging when the "real" links are refreshed.