Steps

1. Go to: Jenkins > New Item.
2. Fill in Enter an item name: "test".
3. Select GitHub Organization.
4. Click OK.
5. In Projects:
   1. Fill in Credentials.
   2. Fill in Owner.
   3. Add Behaviors for Within repository:
      1. Add  Discover branches: Exclude branches that are also filed as PRs.
      2. Add Filter by name (with regular expression): "master|.PR.".
6. Click Save.
7. Go to the "test" project: /jenkins/job/test/.
8. Click on a repository "repo": /jenkins/job/test/repo/.
9. Click on the Pull Requests tab: /jenkins/job/test/repo/view/change-requests/.
10. There's an Open Blue Ocean link here, it goes to: /jenkins/blue/organizations/jenkins/test%2Frepo/branches/.
11. Click on a Pull Request "PR-2":  /jenkins/job/test/repo/view/change-requests/job/PR-2.
12. There's an Open Blue Ocean link here, it goes to: /jenkins/blue/organizations/jenkins/test%2Frepo/branches/.

Expected results

1. The /change-requests/ page should link to /jenkins/blue/organizations/jenkins/test%2Frepo/pr.
2. The /change-requests/job/PR-2 page should link to /jenkins/blue/organizations/jenkins/test%2Frepo/activity?branch=PR-2.

I'm not really sure which plugin is responsible for this.