Vlad
I am seeing this behavior with Orion Version 0.99.130.1-beta (WebKit 621.1.2.111.4) and Sequoia 15.2. When I click an external link, Orion tries to open it as a new tab in the last used Orion window. I have tried this with and without shift. I do have link previews enabled in settings.
Preview is also failing when using the Open Link in Preview Window
from the context menu in the browser. When using this option, I typically see what looks like a brief flash of the browser window and then nothing more. In some cases, a visual artifact is also left behind, as shown in the attached image.

I have seen preview work as expected in a browser window a of couple of times today, but that amounts to only a few percent of the preview attempts.
I am using the default profile with no browser instances open for my other profiles.
Happy to provide additional information and further testing if needed.