renderOption Nextjs Link Component

I think you are kinda limited here. I would say either a custom component, or your component would have to parse the JSON that is coming out, look for an A tag and then swap that with a Next link. Similar-ish to:

if (domNode.name === 'a' && domNode.attribs && domNode.attribs.href) {
    return (
      <Link href={domNode.attribs.href}>
        <a>{domNode.children[0].data}</a>
      </Link>
    );
  }

  const html = jsonToHtml(content);
  return Parser(html, { replace: replaceLinksWithNextLinks });