I don’t think Markdown is supported. I think you were thinking of HTML (h1 is an HTML tag).
If you are using the web export, then yes, HTML is supported and you can write:
Nebraska the place <strong>is not</strong> the USS <i>Nebraska</i>.
If you are using Unity or any other engine, you’d need to parse your own markup, as zarf said. (Or use tags, if you want to style a whole paragraph. Inline tags would be cool, but they don’t exist.)