I previously used a web login url in mobile app, like https://training-test.cs111.force.com/red/s.
But the thing is we should use https://training-test.cs111.force.com/red, without the tailing path /s.
UrlHandling is passed into the MarketingCloudConfig. As such, you must implement it in native code. Examples of this can be seen in the Learning Applications: https://github.com/salesforce-marketingcloud/MarketingCloudSDK-Android/blob/master/app/src/main/java/com/salesforce/marketingcloud/learningapp/BaseLearningApplication.kt#L126