@Danp508 Thanks for reaching out, and welcome to the MSFT Edge Insider community!
Unfortunately, since Infopath if fairly outdated, it won't work with most browsers, including the new version of Microsoft Edge. (After talking with one of our devs, they shared that the client application is fully out of support, which is probably why it's only opening on the web. Additionally, it's likely used IE-only tech like ActiveX, which is why you are having trouble opening it in other browsers.) You will likely have better luck with a more modern solution; if you'd like to learn more about what Office 365 can offer, feel free to check out their forum.
Hopefully that helps!
Program Manager & Community Manager - Microsoft Edge