menu.html.twig

{#
/**
 * @file
 * Default theme implementation to display a menu.
 *
 * Available variables:
 * - menu_name: The machine name of the menu.
 * - items: A nested list of menu items. Each menu item contains:
 *   - attributes: HTML attributes for the menu item.
 *   - below: The menu item child items.
 *   - title: The menu link title.
 *   - url: The menu link url, instance of \Drupal\Core\Url
 *   - localized_options: Menu link localized options.
 *
 * @ingroup themeable
 */
#}
{% import _self as menus %}

{#
  We call a macro which calls itself to render the full tree.
  @see http://twig.sensiolabs.org/doc/tags/macro.html
#}
{{ menus.menu_links(items, attributes, 0) }}

{% macro menu_links(items, attributes, menu_level) %}
  {% import _self as menus %}
  {% if items %}
    {% if menu_level == 0 %}
      <ul{{ attributes.addClass('menu') }}>
    {% else %}
      <ul class="menu">
    {% endif %}
      {% for item in items %}
        <li{{ item.attributes }}>
          {{ link(item.title, item.url) }}
          {% if item.below %}
            {{ menus.menu_links(item.below, attributes, menu_level + 1) }}
          {% endif %}
        </li>
      {% endfor %}
    </ul>
  {% endif %}
{% endmacro %}

Was able to add a class to this link on line 36 using this code:

{{ link(item.title, item.url.setOptions({'set_active_class' : TRUE, 'attributes' : {'class' : 'nav-primary__link'}})) }}