Yes. The title shown at the top of the search window is a plain text field, and it accepts HTML, so you can place a link in it. In the page editor, click the header and open it in the global content editor; then click the header once more to open the Website header module's settings, expand the Search group and edit Window title. For example:
Visit our <a href="https://www.example.com/knowledge-base" target="_blank">knowledge base</a>.The link uses the Link and Link hover colors under Global theme styles > Header colors > Overlay window. Once you change this setting, you must click Apply Changes first, and then click Publish to X assets button at the top right corner.