Here is a cheat:
function open_local_mlx(mlxname, lineNum)
whence = mfilename('fullpath');
[filedir, basename] = fileparts(whence);
mlxname = fullfile(filedir, [mlxname '.mlx']);
matlab.desktop.editor.openAndGoToLine(mlxname, lineNum);
end
This must be put into the same directory that the target .mlx file is in, and this must be a .m (not a .mlx)
Now, in the .mlx that is to contain the link, insert a hyperlink that has a target
matlab:open_local_mlx('NAMEOFMLX', LINENUMBER)
where NAMEOFMLX should be just the basic name without extension, and LINENUMBER should be the absolute line number as given by the Live Script editor. This would have to be a non-markup line -- not a section break or text area or equation. But it can be a comment line.
It is also possible to go to a particular position within a particular line, using some deeper techniques.
I would not be surprised if there is a way to search for some particular text, but I have not happened to see that yet.
