I report this issue after a discussion in the user mailing list.
A context menu is shown when you click the right mouse button on the markdown preview panel.
It seems that the panel is produced by the libwebkit used by the plugin.
This is the piece of discussion on the mailing list

Correct, IIUC webkit is fed the data directly by the plugin, not by
saving a file, but having pretensions of being a browser webkit likely
still has a "home" location like most browsers do, and it tries to
reload that. If webkit allows that menu to be customised then if
someone wants to send a pull request to remove the useless menu entry
I'm sure it would be welcome.

Screenshot

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