Hi Gerard,
I also tried using the following HTML page:
RDP
but the link is intepreted by the browser and not by the ASA itself so it doesn't help.
I even tried hosting this page on the ASA itself trough a Web Content then assigning it to my customization through a custom pane but again I have the same issue (Firefox doesn't know how to open this address, because the protocol (rdp) isn't associated with any program.).
The only way I could think of would be to put one custom pane on the portal page of the client where you would show the WOL link and below an RDP bookmark to the server you would have started with the first link. This would look something like this:

It is not perfect but that is the only way I see this working.
Regards,
Nicolas