is it possible whenever the user clicks on the particular link a new lightning tab needs to be opened with the embeded SSOed thirdparty page.
I would have expected you'd be able to do this using a Lightning Component that's launched from an action where the component invokes an apex class based on the ConnectedAppPlugin Class. See Create a Connected App in the Lightning Components Developer Guide for a bit more on the subject.
I then did some further research and found the following which may be helpful to you. It's contained in the Lightning Out Documentation which is still in beta at this time:
Considerations for Using Lightning Out Because Lightning Out apps run outside of any Salesforce container, there are things you need to keep in mind, and possibly address.
The most obvious issue is authentication. There’s no Salesforce container to handle authentication for you, so you have to handle it yourself. This essential topic is discussed in detail in “Authentication from Lightning Out.”
Another important consideration is more subtle. Many important actions your apps support are accomplished by firing various Lightning events. But events are sort of like that tree that falls in the forest. If no one’s listening, does it have an effect? In the case of many core Lightning events, the “listener” is the one.app container. And if one.app isn’t there to handle the events, they indeed have no effect. Firing those events silently fails.
Standard events are listed in “Event Reference.” Events not supported for use in Lightning Out include the following note:
Note This event is handled by the one.app container. It’s supported in Lightning Experience and Salesforce1 only.
The last note suggests to me, that if you use the one.app container, you'd likely be able to do the SSO. Bottom line, you're going to need to write some code and test it for yourself unless someone else pipes in who has definitive experience as components aren't intended to handle authentication. Embedding them in a lightning page is an entirely different matter.