It’s trivial for Siri to know the song that is currently playing - Spotify signals it to iOS so that iOS can display it on the Lock Screen. It’s likely much easier for siri to construct a URL based on this information than to try and get a url from Spotify.

If the song itself is not on Spotify, Siri will send a link to a similar one - for example, same name and artist, but a live recording instead of the studio version. If it doesn’t have that, it fails your request and doesn’t send anything.