Another user mentioned this on the forum a few days ago, but unfortunately it's not a native feature on Firefox at the moment. I've put in a request to add that feature ([https://bugzilla.mozilla.org/show_bug.cgi?id=1522025 see bug 1522025]), but requesting features is usually a lengthy process. An alternative could be to request that the link be opened in the same tab (via the right click menu) or copying and pasting the URL into a new tab that already has the developer tools open.