If you use the Goldmark renderer in Hugo you can use so-called Markdown Render Hooks to customize the render of some elements (as of May 2021 only images, links and headings are supported). See Anchored headings in Hugo to see how to use the same principle to customize your headings.

To mark external links in Hugo, create the following file: layouts/_default/_markup/render-link.html and fill with with a Go template, for example:

<a href="{{ .Destination | safeURL }}"{{ with .Title}} title="{{ . }}"{{ end }}{{ if strings.HasPrefix .Destination "http" }} target="_blank"{{ end }}>{{ .Text }}{{ end }}</a>

The code above will open all external links (i.e. links that start with http as internal links are relative) in a new tab. It might make sense to indicate that to viewers, I’m using the external-link item from the Feather iconset.