This does not work intuitively by right-clicking on the desktop, nor from the File Manager.
Copying an existing link to my browser (Vivaldi) and adding the URL as a parameter doesn't work either.
If you don’t stick to desktop icons, use this "yad" program. Create an executable file in your programs path. Copy and paste this code to the file. Create a "key bindings" in settings panel, to this program. And when run this program copy the URL and paste to combo box and press enter. When one time ran, URL saved and you can select from dropdown list. You can run other things not just URL. If you want to run a program just type program name and hit "enter". If program based in x-terminal type a "#" char before his name without space. For example: #mc, #htop, If you have a question ask it.