With the Link you just create a link, that does not create a new page (GET /test returns No route found).
With the URL Alias you create a new page, that links to the referenced page ( GET /test loads /blog/into-the-wild)
With the Redirect you create a new page, that redirect to the recerenced page ( GET /test redirects to /blog/into-the-wild)
I think what your looking for is the Link, as you do not create a new page. You don't have to use the link picker as you can just type in an URL. With that you can e.g. create a menu including items, which aren't pages on your website.