Learning with Fitzpatrick Losses

Fenchel-Young losses are a family of loss functions, encompassing the squared, logistic and sparsemax losses, among others. They are convex w.r.t. the model output and the target, separately. Each Fenchel-Young loss is implicitly associated with a link function, that maps model outputs to predictions. For instance, the logistic loss is associated with the soft argmax link function. Can we build new loss functions associated with the same link function as Fenchel-Young losses?