This is currently not possible. But I think it came up at one point.
There was also a similar discussion going on for adding internal links while writing text.
Should that ever be developed it could be extended to additionally show the sections within a note when a note is selected.
Update: On the other hand, maybe it is also possible to do it like this: right click on a heading and then Copy markdown link. I'm pretty sure we had a discussion like this before.
Unfortunately I'm not sure how complicated it would be to add that. But maybe Laurent or anyone who knows the code better than me can chime in.