Well, it's a browser option, but my browser (Firefox 39.0.3) is already set to "Open New Windows in a New Tab" and it doesn't work when I click on the Reply link.
You're right. I just tried it and got a contextual menu.
Now try holding down the ⌘ (command) key and click on the Reply link. It should work perfectly.
Sorry for not testing that out earlier. It seems to work on the other links as well.
Side note: Doing that for a reply gets the job done, but reverting to the original tab obviously will not show the Reply or Edit until refreshed. Confusion could be the outcome of choosing such a method.