As you yourself discovered by finding a paper of Audenaert: an upper bound of the form you require is provided by the Powers—StørmerPowers–Størmer inequality:
Theorem (Powers—StørmerPowers–Størmer, 1970, Lemma 4.1; link) Let $S$ and $T$ be positive Hilbert-Schmidt operators on a Hilbert space. Then $\Vert S - T \Vert_2^2 \leq \Vert S^2-T^2\Vert_1$, where $\Vert \quad\Vert_p$ denotes the Schatten $p$-norm.
The starting idea of the proof is to work in an ONB with respect to which $R=S-T$ is diagonal (which is possible by the spectral theorem for compact self-adjoint operators). One then observes that, putting $Q=S+T$, we have $S^2-T^2 = (RQ+QR)/2$ and then one exploits the fact that $Q\geq \pm R$.
More general inequalities are known, see the discussion in Section X.1 of Bhatia's Springer GTM book on Matrix Analysis (Springer GTM).