Yes, this is possible as KIM supports the notion of external entities. It means that if, by using the KIM Explorer, you reach a resource that is fully defined in the semantic repository, KIM will treat its URI as a URL and it will open a new browser window with that URL. So, in order to show external web links for some of the entities, you will need to add relations to these entities.
To see an example list, click this link.
This example features entities from the dbpedia ontology and not the default KIM World Knowledge Base (KB). But the principle is the same. You will probably need to generate these relations with a script.