Drupal - Allow markup inside drupal 8 Link function

Use the Markup class:

use Drupal\Core\Link;
use Drupal\Core\Url;
use Drupal\Core\Render\Markup;

$url = Url::fromUri('http://www.example.com');     
$linkText = 'My link <br> containing tags';
$linkMarkup = Markup::create($linkText);
$link = Link::fromTextAndUrl($linkMarkup, $url);
$link = $link->toRenderable();

If you build a render array for the link you can simply place the html markup in #markup:

$build['my_link'] = [
  '#type' => 'link',
  '#title' => [
    '#markup' => 'My link <br> containing tags',
  ],
  '#url' => Url::fromUri('http://www.example.com'),
];