1. Navigate to Appearance > Menus.
  2. Select the menu to edit.
  3. Click the down arrow next to the menu item.
  4. Mark the 'open in new tab checkbox'.
  5. Save.

If the open in new tab option does not show on the menu items, we can enable this option using the following steps:
  1. Navigate to Appearance > Menus.
  2. Expand the screen options at the top of this page.
  3. Mark the checkbox for link target.
  4. Save.