I found the 'issue'. Every new added class or instance in Protege, it adds # symbol before name. For example, if I look for the class Advisory in the .owl file, I see it as #Advisory with '#' character.
According to ASCII Encoding Reference, the symbol '#' is %23, exactly what appears in my links.
I could simply go to the .owl file and delete the '#' symbol before any named class or instance but this is the best way to do it? Or there is another and better way to do it?
%23 is used to replace # in URL, because # is normally used for something else in URL (for fragments). I think the presence of %23 is not a problem.
If you really want to avoid %23 in URL, e.g. for cosmetic reasons, you may replace it manually with something else (e.g. "SHARP"), or remove it from the URL and add it after, just before obtaining the entity from the IRI (but this would work only if all your entities starts with #).