Ah - I see: these are 'indirect' files; an example .URL file:
[InternetShortcut]
URL=http://www.foo.com/
and they do work correctly with Calibre and my browser (Chrome).
Might get tedious doing a quantity of such - but for limited use might be acceptable.
One advantage: they provide completely seamless access of the web page via Calibre.
Portability issue: does any OS besides Windows implement such?
Related discussion here:
https://www.mobileread.com/forums/arc.../t-203643.html