There is no UX problem or ambiguity with a link. You assume it will open in the same window and if you do not want that then you hold cmd (or ctrl for Windows) as you click it. A simple, easy process. Alternatively, you could right click it and be given myriad choices.
This solution adds a layer of inconvenience. You would be given three choices every time you followed a link. Also, the mockup above assumes that the link is within text with no other line above. Would it still work as neatly over more text, or even an image link?