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Hello there Anonymous ! You can insert a "Shape" somewhere in your report and ass an action to it like the following print:

This way whenever the user presses this shape it will direct him to the new app. 

Furthermore, if you using the new features in the Service , you can add a link to an App like they show in the following documentation:

Publish an app in Power BI - Power BI | Microsoft Learn

Hope this answer solves your problem!
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Thanks!

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Best regards,
Gonçalo Geraldes

Thank you for your quick response but I'm actually wanting to go to an application that's not Power BI.  

For example, I've built a dashboard that has Account Name field.  I want my users to be able to click on this field and go to this account in another application (NOT a Power BI app), sign-in and view the account information.  Hope this makes sense.