Not sure if any of you have heard of ROBLOX, but I was wondering if its possible to deploy games on an online service which if they play it off the website, it launchs the client (client after making the actual client in UE4), and loads the game?
Is this possible? Sorry if the question is vague 
This is actully URI protocol handling and it’s reponcibility of OS to handle this. The http: part of url tells browser (or any other application) which protocol to use, if browser does not support protocol it will ask OS if there application which can handle this url.
first you need to register protocol so OS knows how to handle it, here you have docs for windows (each OS will have different setup):
Problem is handling command, you can see on bottom of that doc which commandl ine it using to start registed application and application needs to know how to handle it and UE4 don’t support that by default. You need to read parameters you games was run, i don’t exacly know how to read them from UE4 APIs (normaly in C++ you get them via entry point function arguments of application, main() function, so it is something engine needs to handle). closesed thing i found is this, i dont know if this gives command line, if not try searching around FGeneticPlatfrom (but use FPlatform in C++) or FPaths