Notepad++ help implementation, is it a way to convert "::" to "__" in help page URLs

Assuming that you cannot transform the text before passing it on to the plugin, I think the most sensible thing to do is use another plugin that allows you to transform the text before converting it into a link.

Other options like implementing your own redirector (on your personal webserver) that does the transformation also require at least the ability to URL-encode the text, which itself requires the ability to transform the text in the first place, which kind of defeats the purpose.