I would not want that myself. I paste URLs into temporary text files a lot and want to get the text back later, or add more detail to the file, not visit the page in a browser.
So it'd need to be an option, I think, but you already have the option of doing it with a simple script right now, without needing to wait for us to implement anything.
Paste empty file list has an example script that chooses what to do based on the type of data in the clipboard.