The navigation item should be call microflow, and you should call a microflow that will open the page that you want. Now, you will need to go to the microflow settings and then switch on Ask confirmation. You can then configure the question that will be asked to the user when he/she clicks on the navigation item. The user will then have a proceed button and a cancel button.
Is the Exit Intent (Wait don't go) widget perhaps somethings that could help you? https://marketplace.mendix.com/link/component/21721