To open a new document in the Office 365 desktop app instead of the web browser, you can try one of the following options:
Select the file in OneDrive or SharePoint.
Select the More icon, then Open.
Select Open in (app) (e.g. Open in Word ).
Change the setting below
File > Options > Advanced > Link handling in any Microsoft 365 for Windows app.
On Mac, you can change the setting in Preferences > General > Link Handling.
If your files are stored in OneDrive, SharePoint, or Outlook, you can have them open in the desktop app by default.
To do this, go to File > Options > Advanced > Link Handling in any Office 365 desktop app.
I hope this helps you.