get_the_category_list open in parent window

get_the_category_list runs it output through the filter the_category. You could hook in there and change whatever you like. Something like this should work (untested):

<?php
add_filter('the_category', 'wpse90955_the_category');
function wpse90955_the_category($cat_list)
{
    return str_ireplace('<a', '<a target="_parent"', $cat_list);
}

If you just need to have that list filter in certain spots, you can define the function above in a plugin or theme’s functions.php, then add the filter, call get_the_category_list, and remove the filter.

<?php
// assume wpse90955_the_category was defined elsewhere and is already loaded
add_filter('the_category', 'wpse90955_the_category');
echo get_the_category_list($some_sep, $parents, $some_post_id);
remove_filter('the_category', 'wpse90955_the_category');