After the previous few comments here is a possible answer. Its a long shot but still will work.
if you see deeply, this widget is based out of a EasyMDE JS library which is actually a fork of this.
If you try their demo page , you see that the links do open on the same page. So someone in the community raised a PR for the same issue which can be found here
So here is the thing:
Using the Widgets documentation where the Developer has conveniently mentioned how to contribute to the widget, you can rebuild the widget however you can edit the EasyMDE sourcecode in node_modules folder by including the code that is shared in the PR that i shared above.
Now compile and build the widget and then run the release script to generate mpk of the widget which you can drop inside your project to have your own widget :)
See if the link issue is solved now.