No Way to Open "Custom Link" in Private/Incognito Mode

No Way to Open "Custom Link" in Private/Incognito Mode

We created a Custom Link for the Leads Module. We can click on the Link/URL from within a Lead record and it opens in standard browser (Google Chrome in our case) with no problems. However, if we try to open up the the URL in Private/Incognito Mode by right clicking and selecting "Open Link in Incognito Browser" it doesn't actually open the URL...it just opens up the incognito browser to the following URL: "about:blank#blocked"

How can we Open a Custom Link in Private/Incognito Browser?