First, you need to enable the toc extension for Markdown in your Pelican configuration.
MARKDOWN = {
  'extension_configs': {
    'markdown.extensions.toc': {}
  }
}
Then enable permalink option available for the toc extension.
MARKDOWN = {
  'extension_configs': {
    'markdown.extensions.toc': {
      'permalink': 'true',
    }
  }
}
Enabling the permalink option will provide direct links to each heading.
Hover over following example heading to see the permalink.
Example Heading
You would get this,

Tip
When set to True the paragraph symbol ¶ or ¶ is used by Python markdown.
This becomes part of the RSS feed.
We recommend setting permalink option to a space.
MARKDOWN = {
  'extension_configs': {
    'markdown.extensions.toc': {
      'permalink': ' ',
    }
  }
}