You are able to open a second tab with the same Mendix app with the same session: authentication is handled through a cookie, you have a valid cookie, so you can open a new tab with a new page. What you cannot have is two different sessions in the same browser, because the cookie is reused in the browser. Is there a specific issue you are running into?
: this is actually possible, but you need to ensure that your application is reachable on more than one URL. If you navigate to a different URL that hosts the same app, the cookie isn't valid and you need to authenticate again. You now have two sessions on the same app in the same browser. Alternatively, you may be able to authenticate again – and create a new session – if you use private browsing.
Did you check the option in the Modeler at Settings > Runtime > “Multiple sessions per user” ?
Changing this from No to Yes should change the number of parallel sessions from 1 to ‘infinite’.