component.find an aura:id item created in aura:iteration

aura:id must be a literal value. As such, you can't use an expression in aura:id (it will be treated as literal text). Instead, you can use the element's id via document.getElementById:

var selectedItemNew = document.getElementById(oppId);

First problem is that we cannot use expression while assigning aura:id. Aura:id need to be static.

so your first change is

<a href="javascript:void(0);" role="menuitem" tabindex="-1" id="{!opp.Id}" onclick="{!c.openItemFromMenu}" aura:id="link">

in js you can do

    openItemFromMenu: function(component, event, helper) {
        // get the id from the event
        var oppId = event.getParam("recordId");
        // choose it (select menu)
        var selectedItemsNew = component.find('link').getElements();
        if(Array.isArray(selectedItemsNew)){
            var selectedItemNew = selectedItemsNew.find(function (oneItem){
return oppId === selectedItemsNew.id})
           if(selectedItemNew){
              selectedItemNew.style = "background: rgb(216, 237, 255);"
           }
        } else if(selectedItemsNew){
          if(oppId === selectedItemsNew.id){
             selectedItemNew.style = "background: rgb(216, 237, 255);"
          }
        }

    }

Instead of adding style directly you can create a class and use

$a.util.addclass()

I don't know if it will work for you, but what worked for me was just assigning the same static aura:id to each element in the iteration, and then when you use component.find() it will return an array of all the elements.