How to prevent safari from opening links in third party apps on macOS
I am still a fresh new contributor so I can't comment on every post yet. I found something interesting concerning your issue.
I hope your problem only affects this particular app BlueJeans being automatically opened by Safari and if not, I would be sorry that my answer could not help you.
Here is the link : https://support.bluejeans.com/s/article/BlueJeans-Detector-Service.

As you can see, the user is required to click on an additional popup
to allow the meeting to launch. The user may accidentally cancel this
dialog and then be confused as to why nothing happened. Alternately,
some users may not even notice the dialog and simply sit at this
screen, confused.
On top of that, an additional click may seem not so bad, but if the
user is frequently joining meetings, this adds significant friction to
the launch experience. In Chrome, as shown, the user can elect to
“Always Allow” but this option is not available in every browser (for
example in Safari).

As you can see, the article says that the Launcher Service prevents your browser from asking if you want to Open in BlueJeans.app.
The most brutal way to get the alert box back would be to stop this Launcher Service process.