Can you get Firefox to open a web page's "sftp://" links in an externel app (File Browser, or Filezilla)?

I’m trying to come up with a way to create clickable hyperlinks to network share folders, which work both in Linux and WIndows. I’m using LMDE5 specifically, but I’ve used many different distros in the past.

Curiously, I was able to get “sftp://” links to open in WInSCP, in Firefox in Windows 10. It works! But I can’t get it to work in Linux. I documented my attempt in LMDE 5, and gave relatively simple steps to reproduce the problem. Can you get it working in your favorite distro?

Note: This functionality is important to me, because when Windows users create .lnk files, pointing at some SMB share looking like: “\\fileserver\share1\Some Folder”, Linux doesn’t support that UNC notation. Furthermore, these .lnk files are proprietary binary blobs, and don’t work in Linux (even if the .lnk file referred to an SFTP link internally)! I want a cross-platform way to create links to folders in file shares within a LAN, eschewing Microsoft’s proprietary .lnk files. Thus the desire to use sftp:// links, served from web pages

One way would be using a router like nginx to automagically produce an html directory listing which could be combined with basic auth (it needs to be set up with HTTPS or everything will be plaintext).

server {
	location /public/ {
		auth_basic_user_file /srv/nginx/my-app/.htpasswd;
		auth_basic "Auth required:";
		alias /srv/nginx/my-app/public;
		autoindex on;

I took a look at WebDAV, which would allow both reading and writing, however support for all the WebDAV functionalities are a bit dodgy, depending on what WebDAV client you use. My intuition is that Microsoft will cleverly tackle WebDAV around the ankles in some subtle way. My sense is that SFTP is my better bet.