One dodgy quirk to get this behaviour can be realised if you define a "workflow" and pass it the URL.
You have to cut off the protocol and insert that statically into the workflow otherwise splunk will prepend it's own url to yours which is not what you want.
In the example "host" is the field that contains the url
The context menu of an event will have an entry defined by the workflow. You can configure the workflow to only show in events that have the URL field defined.