Redirect URLs

Hello again,

When a user hits a website domain in their allow list and then finds a
link in that website domain that leads to another domain that should
also be allowed but is currently blocked, is there anyway of getting
the denied url to be passed out to the redirect page and made readable
from said page? This would be useful so that when a user comes across
such a link they can ring the Help Desk and read the url off the screen
to the Help Desk Operator who can then log a call to get that site url
added to the proxy allow list for their group.

Thanks in advance.

Mr V