Using aura:unescapedHtml component, you can Unescaping HTML contents in Lightning component.

Lightning Component:

<aura:component>
    <!--Handler-->
    <aura:handler name="init" value="{!this}" action="{!c.doInit}" />
    
    <!--Attributes-->
    <aura:attribute name="blogURL" type="String" default=""/>
    
    <!--Component Start-->
    <div class="slds-m-around--xx-large">
        Welcome to my <aura:unescapedHtml value="{!v.blogURL}"/>.
    </div>
    <!--Component End-->
</aura:component>

Lightning JS Controller:

({
    doInit : function(component, event, helper) {
        //HTML Content
        var blogURL = '<a href="https://www.biswajeetsamal.com/blog/" target="_blank">Blog</a>';
        component.set("v.blogURL", blogURL);
    },
})