Just amend the HTML to include the $label in the a tag:
<?php
$field = get_field_object('field_name');
if( $field['choices'] ): ?>
<ul>
<?php foreach( $field['choices'] as $value => $label ): ?>
<li><a href="<?php echo $label; ?>"><?php echo $label; ?></a></li>
<?php endforeach; ?>
</ul>
<?php endif; ?>
