I found a trick to bypass the alert page.
Right click on a link then select "Open Link in a New Tab" (or Window, Private Window) from the context menu.
It requires a few steps but is quicker than navigating the alert page with a mouse / trackpad or hitting Tab several times.
Shortcuts in Windows on Firefox
"Right click" + "t" + "Enter" will open in a new tab
"Right click" + "w" will open in a new window
"Right click" + "p" + "Enter" will open in a new private window
Chrome, MacOS and LInux may have slightly different combinations but it could be committed to muscle memory... I suppose.