This wasn't that easy to set up but finally figured it out with some googling so thought I'd share my findings.
I’m basing this example on a fictitious game called Five Knights
In the export window set the URL scheme to match your app name (don't include :// or any other text after the name). You probably could use any name here but it kind of makes sense to use your app name. I’d use the name that’s at the end of your package name i.e. com.coolgames.fiveknights.
The next bit is where I really struggled because fiveknights://mytext in the browser address bar does not work, and pasting it anywhere doesn't create a clickable link.
What you need to do is create a web page that has a clickable link or a page that redirects. This page has an example of the clickable a href tag to use:
https://developer.chrome.com/multidevice/android/intents
This is an example taken from that page and updated for the Five Knights game.
<a href="intent://loadlevel?id=12345/#Intent;scheme=fiveknights;package=com.coolgames.fiveknights;end">Load Level</a>
With a bit of javascript you could get the page to redirect to that intent URL above without having to click a link. I would definitely recommend a redirect over a clickable a href tag.
The page that has the above code would live on your server and be accessible via a URL that might look like this: https://www.fiveknights.com/loadlevel.php?id=12345
Obviously if you’re passing different values on the URL then the href tag in the loadlevel.php page would need to pull in the values from the URL with PHP $_GET or some other way.
Clicking the link will open the app and GetURLSchemeText() will return this: fiveknights://loadlevel?id=12345
With that you can program your AppGameKit app to chop up the string to get the parameters you need and do something with it.
I don't know if this is the only way, and with no instructions from TGC I'm guessing there's probably a much simpler way and they felt instructions weren't needed. But this is one way that works
I hope this helps.