Currently, all interwiki links are treated as internal wiki links -- they are opened in the same browser tab. At the very least, there should be a wg variable allowing each wiki's LocalSettings.php to configure if they want interwiki links treated as internal or external links (opening in a new browser tab).
Now if you want to get fancy, it might be nice to have options. For example, some might want to configure only a subset of their interwiki links to be treated as external links, leaving the others to be treated as internal links. In this case, I think it would make sense to add a column to Special:Interwiki with a toggle for each row to configure how links should be handled (same tab vs new tab).
I'm tagging both MediaWiki-Interwiki and MediaWiki-extensions-Interwiki because I don't know the difference between the two.