I've created "New" - "Hyperlink" in SharePoint as that option is not available in Teams web or desktop. The then is named whatever.url, were .url is a preset I can't change.
If I choose to click the link in SharePoint, it opens as a new pane in whatever browser I choose as default. Perfect!
If I return to Teams and click the same link there, it shows the message (my translation from Norwegian) "Hmmm...it looks like this file can not be previwed".
I also have a "Download"-button that launches the download of the link, which i must choose "Open" (or "Save"), as for any download in my browser. Depending on the browser, it looks like I at least has to press "Open" to open the link as a new pane, or I might even have to navigate to my "Downloads"-folder to click the link.
I half-way work-around is to highlight the link and click "Open" - "Open in browser" (my translation) in Teams, though this also presents me with the usual "Open/Save"-dialoguebox.
The whole operation is frustrating, as I think it should be as easy inside Temas as it is inside SharePoint, especially on behalf of my not-so-skilled-employees.
I found some related info under Knows issues:
"Issue: URL preview may not show for all URL's. Behavior: Some URL's may not show a preview. This is reliant on the original URL having the capability to show a preview. Workaround: No workaround."
How the descrition is understandable and that links/URLs created in SharePoint can be clicked and open directly in the browser, no matter if I use Teams web og Teams desktop.