Can't do it based on a quick filter.
We've had success with this type of function by creating a view to use as the filter instead of a basic filter on a worksheet.
IE if you have a filter for state. Create a new view that lists all the states in a table. Then add a "select" action to that view to alter your main view. In this case you have much greater control over the function of the filter and you can assign more than one action, like a url link, to it.
Try that and let me know if you have troubles. screenshots or a few details on your specific workbook may help.
Thanks for the reply
The solution that we have found is to create the filters outside tableau (using asp dot net)
and passing the filter values to tableau through the URL. This way you also have control as to when to access the external URL