Hi,
This is probably one of InfoPath's limitations, out of the box? I don't think it's possible. However, I was able to read a blog somewhere which guides you to change the URL location after the form closes, but may probably be limited to one URL only, so you may need to right some code. But if you are working with non-browser forms, you may wan't to check out qRules' OpenUrlInBrowser command.
Regards,