Onizuka
This is not a bug (as far as I can tell). You won't be able to do this on your Galaxy because G Play forces the links as a "Verified link", which I believe prevents them from being used as non-verified regular links by other apps. Assuming that Google Play is just as privileged on Samsung phones as they are on any other Android, then you can't really avoid this.
This is not a problem with GrapheneOS unless you install Google Play on your Graphene phone. Keep Google Play off your phone and use just Aurora Store, and you can add the links to open in Aurora just fine.