Title says it all, nothing happens when I press the link, it would be nice to have it open the built in mail app with a new mail.
Based on my test with Power BI mobile app version 18.1(1.2.190415.113472) in iOS 12.1.4(16D57), it's able to click on the mailto: link to open the email application.
In your scenario, please ensure you already set the mailto: column Data Category as Web URL follow this blog: https://bimentalist.com/2018/06/27/how-to-create-email-link-in-your-power-bi-dashboard/.
Then you can open the Power BI service in safari browser in your iphone, click on the mailto: value to see if mail application can pop up.
Also please update Power BI mobile app to the latest version.
Best Regards,Qiuyun Yu