I don’t think this is a theme setting. Pretty sure you need to go to javascript here.
Here is a community post about this: https://community.skuid.com/t/is-there-an-easy-way-to-make-all-links-load-in-a-new-browse…
But warning… This will adjust ALL links - even the ones in the salesforce header. When I’ve used this script its caused unintended consequences