you can use xquery like this:
select
stuff(
@data.query('
for $i in row/urlSegment return <a>{concat("/", $i)}</a>
').value('.', 'varchar(max)')
, 1, 1, '') as Url,
stuff(
@data.query('
for $i in row/shortenedUrlSegment return <a>{concat("/", $i)}</a>
').value('.', 'varchar(max)')
, 1, 1, '') as ShortenedUrl