Directory hard links in Linux are forbidden. To emulate something similar, you can mount any file system path into any other directory. However, you need to be careful because you can get the same problems as with directory hard links, namely circular and thus infinite file paths...
sudo mount --bind /home/user/Documents/Desktop/ /home/user/Desktop/
Such a link disappears after a reboot. If you want to make it permanent, you can add the mount to /etc/fstab:
/home/user/Documents/Desktop/ /home/user/Desktop none bind