As it appears, there is no way to move from your Inbox to a course. Need to make a available your listing of favorite or active courses so that you do not have to into another menu item before selecting your course.
Actually, you have two ways to get back to your course from the Inbox...
I suspect that what you are actually asking for is some kind of one-click link, perhaps associated with the specific message you are reading at the time you are ready to leave the Inbox. Perhaps by having the course identifier in the heading of the message be an actual link.
One simple trick if you are working in Canvas on a browser, is to simply open the Inbox in a new tab and then toggle back and forth. I actually do this a lot when I am grading or such, and know that I will be frequently going back and forth.
Stephen, as Kelley L. Meeusen has noted (thanks, Kelley!), the navigation pathway from the Inbox directly to a course already exists: when a user clicks on the Courses button in the left navigation, the list of courses appears in a fly-out menu, so without leaving the Inbox, the user can navigate directly from the Inbox to a course on the list. When I was teaching, I frequently used this method to right-click on one of the courses and open it in a new tab so I could toggle back and forth between the Inbox and a course of my choosing.
We've marked this idea for archival, and hope you will explore not only the existing solution afforded by the global navigation but also consider the multiple-tab option for a smooth workflow.
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