Normally Firefox will open external links in a new tab in the most recently active window. To make sure your second window isn't accidentally made the most recently active, I suggest minimizing it so when you switch around among applications, it is never given the focus after your main window. Does that work?
If that doesn't work, hmm, what is going on... Are there any differences between whether the windows are regular or private windows? Are there any differences between whether they have both regular tabs and pinned tabs (or only pinned tabs)?
You might want to post this problem on the Mozilla Support site. They have a team of support volunteers to troubleshoot malfunctions with your currently installed version of Firefox, while this site is focused on idea submissions for future versions of Firefox (looking ahead anywhere from 8 weeks to many months). Here's a link to the new question form (for Windows/Mac/Linux): https://mzl.la/3y1vQUQ
