First make `.desktop` application for `lynx`:
[Desktop Entry]
Type=Application
Name=Lynx
Exec=gnome-terminal -e 'lynx %u'
And save it to application directory e.g `/usr/share/applications/` naming like `lynx.desktop` and give it execution permission (`chmod +x /usr/share/applications/lynx.desktop`).
Then set it as default web browser by using:
xdg-settings set default-web-browser lynx.desktop
Now try to `Open link` and it will be open with `lynx` in the terminal.
Note: `lynx` is command-line web-browser and hence it needs terminal so-that I've used `gnome-terminal` in my example `Exec` command. Your terminal application may be different. This works for me with my current system.