Allow php code in custom error message

I need to be able to include php in my custom error message.

I see a thread about allowing HTML in the custom error message, and want to know how to do similar but with php. Here’s the other one: https://wordpress.org/support/topic/content-permission-html-code-in-custom-error-message?replies=1

What I’m wanting to add is something like this:

<a href="<?php echo wp_login_url( get_permalink() ); ?>" title="Login">Login</a>

https://wordpress.org/plugins/members/