Warning message before opening an external custom link in Lightning

Lightning Experience displays the external website warning for two reasons

1. To advise the User that the link will take the User outside of Salesforce. (Any operations or links that will follow are not controlled by Salesforce and can result in a security breach or malware inserted to your system. Please proceed with caution.)
2. To present the User with a visual indication that they are able to click the link.

Notes:

• When you confirm you want to continue, there maybe no new tab or window will open. Presenting the warning first will confirm that the link was clicked, even if no destination window or tab is opened.
• Currently this message cannot be deactivated. To request a change to this behavior, please log or vote for a request on the Salesforce IdeaExchange.

Idea- Disable popup message on navigating outside Salesforce
Link- https://success.salesforce.com/ideaView?id=0873A000000E57qQAC

To learn more, please review Why Can't I View Salesforce Popup Windows Such as Lookup Dialogs and Help Pages?