Slides do not have ActionSettings so your code cannot work.
You might be able to use code which runs when you get to the last slide
Sub OnSlideShowPageChange(SW As SlideShowWindow)
' you must add an item from the Control Toolbox on
' Slide 1 and set to NOT VISIBLE
If SW.View.CurrentShowPosition = ActivePresentation.Slides.Count Then
MsgBox "Last Slide"
End If
End Sub
Obviously replace the msgBox witht he Hyperlink code.
Unfortunately this pseudo event is not reliable (it dates from PPT 97) and you must add an item from the control toolbox to the first slide and set it to NOT VISIBLE in the selection pane. It will appear to work without this but it will eventually fail unless you do this.
If you use this a lot the best solution would be to create an AddIn that detects that the presentation has a link to word and opens it when the last slide displays. Not so easy but definitely works.