Hi Nickka, I believe this would be a feature request, since it would have to involve an option to construct the feed links with a target="_blank" attribute. I'll leave it to Joe to comment on that.
However, it's my personal belief that in today's online environment, links set to open in new windows are probably becoming an annoyance to users. The reason is that anyone who is remotely savvy about browsing the Internet (which should be nearly everyone by now), already knows that they can use shift-click or ctrl-click on a link to open it in a new window/tab, or right click on the link and use the context menu to do the same thing. I use this all the time when browsing forums. And if they didn't mean to navigate away, there's always the back button.
I assume that you want to maximize your users' time spent on your site, but I don't believe doing this will help in that regard. If the user wants to move on to another site, leaving your site open in another browser window or tab probably isn't going to bring them back if they don't want to come back.
Just my $.02.