Yes, I believe you can choose the "save shortcut to OneDrive" from the SharePoint Document Library.
One caution - This will sync the files from the SP doc library to the persons OneDrive. I encountered several panic calls that docs disappeared from the team SP doc library - and root cause was someone ran out of local storage on their laptop and started deleting files since they were on the SharePoint site, but since it is a sync - file deletions are synced as well.
I have asked MS if this can be changed to an actual Shortcut and not a sync function
