That menu is rendered by a function called _wp_menu_output in menu-header.php and I don’t see a hook that will let you alter the HTML for those links, which is what you’d need to do– ie. <a target="_blank" ...
That being as it is you will probably need to do this with Javascript either by rewriting the markup to have the target attribute or by intercepting the click and opening a window.
No matter what you do, though, the browser wins. The user can undo your efforts with browsers settings and/or browser extensions.