Is there a "magic link" for comments that automatically links to the Sandbox (like the [tour] and [help] magic links that link to the tour and help center?
No, and there probably won't be one. Magic links are a network wide thing that just gets directed at each sites resources. The only exception I am aware of is the [mvce], the minimal viable complete example that's available on StackOverflow. But because SO is by far the largest site on the network it's sometimes special.
Most sites don't have a Sandbox. The way we use the Sandbox is similar to Puzzle.SE and PPCG.SE. Others use Sandboxes for formatting like Math.SE, but we are different in this regard and therefore likely won't get any custom magic links.
It would be cool though.
See this very very similar discussion on SFF.SE for more. Another answer there mentions workarounds with the autoreview Userscript.