I've tried doing this too, but without success. Let me know if you get 'er working.
At the very least you're going to have to provide some complete examples of the URL's you're using which are opening in a new window. It would also be helpful if you could show screenshots of how your action's are setup in Tableau
here the simplified workflow:
Step 1: I open the dashboard in a web browser with the standard URL pointing directly to the view.
Step 2: I navigate between the dashboards with urls ?:linktarget=_self to force it to open in the same window
this works great to navigate between dashboards..
..until Step 3
Step 3: From the dashboard I now want to open a URL (of a video or other website ..) in a new / separate window, not the one with the dashboard in as I don't want to leave / loose the dashboard.
Whatever parameter I add to the URL (_blank / _new etc) it will always stay / replace the current tab, thus loosing the dashboard.