You must change a few settings in your WordPress admin in order to allow menu items to open up:
Enable Link Target, go to the menu section of your admin “Appearance - Menu”. Afterwards, click the Screen Options button found in the top right corner of the screen. Then check the Link Target option.
In every menu you will find a new option that is called Open link in new window/tab. Check the box for those specific menu items that you wish to open in a new window or tab.