This is Safari behavior. According to Apple, any links clicked in a pinned tab will be opened in a new tab. Currently this is not the case in Orion and a pinned tab's target link locations still browser like a normal tab.
This will only happen for websites that are out of the main domain, if it is a subdomain, then it will remain on the same pinned tab still.
Fortrikka I can not reproduce. Can you give an example?