You can't do it through page settings. 

You really need to ask yourself if having a menu item open a new browser window in a new site.  That's a result I wouldn't expect when clicking on a site menu.  An external link opening in a new window is fine, but most people would wonder how they got to the new site in a new browser window.  However, that's for you to decide if it's the right way to go.

You can achieve what you want by placing some javascript on a page, and having that page launch a new window with a new link. The problem with this method is that you'll be left with the 'old' page open in the 'old' browser window.  I suppose you could have some more javascript that went back to the previous page after it launched the new page.  But that's an ugly hack I personally would never use on my site.

You could also just place an ordinary hyperlink on the page using the Text/Html module or Links module as you already mentioned, along with an indication that the link will open a new browser in another window.   This gives the user a lot more information they are about to launch another browser window.

Someone else may provide you with a better solution, but my advice would be 'think of a different way to do it visually'.

Actually, opening a new window from a menu selection is a common practice, especially in the hotel industry where the 'Reservations' is a separate system that is spawned from the site. It is also important that this is a seamless integration with the menu system and does not need to be built as a separate section on each page.

However, this shouldn't be a discussion of which method is best. This is definately a capability that should be included in the system.  Anytime a link is created, the ability to control the configuration of the link should not be limited.