Try to create a named style and set it to the cell as follows:
// string link = "your link".
// worksheet is your worksheet reference.
var namedStyle = worksheet.Workbook.Styles.CreateNamedStyle("HyperLink");
namedStyle.Style.Font.UnderLine = true;
namedStyle.Style.Font.Color.SetColor(Color.Blue);
cell.Hyperlink = new ExcelHyperLink(link);
cell.StyleName = namedStyle.Name;
cell.Value = link;
Please refer to EPP example for detail.