Apparently WPML should link internal pages automatically. However it depends (sometimes) that how you're designing your content. For example, if you're using a page builder with some widgets/elements, those may need to be registered with WPML first. This is a common case among page builders.
Alternatively, for existing ones you can also try WPML -> Settings -> Translate Link Targets (see attached).
Further, please provide the debug information of your website for an overview of your setup. You can find the information in WPML -> Support -> and click the debug information link.
Then copy the data from the next page and paste it in the "Debug info" section below.