It doesn’t happen in wiki documents.
You can use a relative url but it isn’t that much of a shortcut. It also depends on where you are in the project.
For example in the Readme.md in the master branch of the project:
[#1](../../issues/1)
On the github wikis:
[#1](../issues/1)
Anywhere:
[#1](/user/project/issues/1)
(h/t to VertigoRay for suggesting this)