Sorry to create a new post about this but the issue seems very old and was posted in many places (eg. https://github.com/mojombo/github-flavored-markdown/issues/28) and I could not find a way to make target="_blank" work in a html link yet.
I do not like that users leave the github page when clicking such link and would prefer that they get a new tab to see the result.
My example would be like this:
blah blah <a href="http://htmlpreview.github.com/?https://github.com/<repo>/<path>/blob/master/<my html file.html" target="_blank">comment</a>**
It now does display the html content all right, but in the current tab rather than in a new one as I would prefer it to behave.
Thanks for any code snip to achieve this or ro add this as a feature requests.