Most 3rd party Reddit apps supported this, and some other Lemmy apps do as well (e.g. Connect). Using an internal browser is nice because it doesn’t take you out of the app, and also doesn’t store browsing history by default.
EDIT: There are lots of comments pushing back on this…so I want to reiterate that I think this should be an option you can choose, not a replacement for the current behavior.
What’s the difference with using custom tabs? It already allows you to open link without leaving app. If it is mainly about browsing history I guess you wouldn’t want to have history no matter which app you used and so you could set custom tabs to open in private mode by default. (At least you can with Firefox)