Thanks for recommending using
System Preferences > Keyboard > Shortcuts, this worked for me and I just mapped the default MacOS key commands to make this work.
FWIW, it’s odd that Sublime Text doesn’t respect the default MacOS keyboard shortcuts:
Actually, I found a much better solution as this issue is related to Sublime Text supporting MacOS
Prefer Tabs feature which allow windows to be opened in tabs.
I edited the following file:
~/Library/Application Support/Sublime Text 3/Packages/User/Preferences.sublime-settings
And added this setting:
Now, when I open a new folder it always opens in a new Sublime Text window.