WordPress’s default sanitization will strip this out how I have this setup (obviously as you already know). I’m honestly not sure off the top of my head how to get around it, as WP doesn’t see this as a correct URL.
This has actually come up a couple of times, but I don’t believe it’s really necessary; it seems a little old fashioned. If you did that, then you’re going to have a clickable telephone number in your website’s header for the desktop user. However, most smart phones already automatically turn phone numbers into a clickable telephone number when it’s plain text. So, that’s why it seems, to me personally, it would make more sense to have the phone number without any kind of link.