When linking to an external url that Canvas will not (or cannot) embed, link should automatically open in a new tab or window. Currently, Canvas opens another page saying you have to open it in a new tab, then you have to click that link to do that. Why not just go directly to that page? Links in other locations already do this.
If Canvas is worried a user would be confused by being outside of Canvas suddenly, perhaps they could flash a redirect page saying they are leaving the course and to close this tab to return, or something along those lines.