None of the answers worked for me. But inspired in BarryPye’s answer I found out it works when using relative paths!
# Contents from the '/media/user/README_1.md' markdown file:
Read more [here](./README_2.md) # It works!
Read more [here](file:///media/user/README_2.md) # Doesn't work
Read more [here](/media/user/README_2.md) # Doesn't work