It is possible to cause your menu link to redirect automatically to an external URL if you are prepared to use a bit of custom HTML.
Here's what you need to do:
1. Create a new page with the name of the site you want to link to.
2. Drag and drop an HTML Widget onto the new page.
3. Copy and paste the code below, into the HTML Editor:
4. Change the URL, http://www.google.com in the code to the website to which you would like to redirect your page.
Please note: This code is used at your own risk, as it can result in your page not working correctly.