Apple - How to open a Zoom link in a non-browser app without being prompted?

Have you tried rewriting the URL so that it uses the zoommtg:// protocol?

You rewrite a URL of this format ...

https://us02web.zoom.us/j/123456789?pwd=xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx

... like this:

zoommtg://zoom.us/join?confno=123456789&pwd=xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx

If you have the Zoom app/client installed on a Mac, using URLs with the zoommtg protocol should cause them to open directly in the Zoom app, no matter where the URL is clicked from. Personally, I use this URL format in the Notes field of Calendar events, and it works great.