You will want to change the last parameter from "View" to something like "_blank", "_top" or "_self".
I have a hyperlink which works on LEX just fine (not using a non-http, but the link works). Look at this example:
HYPERLINK('#/sObject/' & Asset.Opportunity__c & '/view', Asset.Opportunity__r.Name , '_self')
This is for a formula field which displays a hyperlink to a related custom reference to an opportunity on the asset object.
The target parameter is optional. If you do not specify a target, the link opens in a new browser window. Some common target parameters are:
_blank Displays link in a new unnamed window.
_self Displays link in the same frame or window as the element that refers to it. _parent Displays link in the immediate frameset parent of the current frame. This value is the same as _self if the current frame has no parent.
_top Displays link in the full original window, canceling any other frames. This value is the same as _self if the current frame has no parent. For more information on basic HTML tags, consult an HTML reference on the Internet. The HYPERLINK function is available everywhere that you can define a formula except default values, field updates, s-controls, validation rules, approval processes, custom buttons and links, and workflow rules.