Commands like GitHub: Blame and GitHub: Open Remote URL in Browser default back to the absolute path of your directory instead of relative to the git root in the worktree.
This can be reproduced with the following script:
#!/usr/bin/env bash
tempDir=$(mktemp -d)
git worktree add -b new-branch "$tempDir"
subl "$tempDir"
... then, once Sublime comes up, run GitHub: Blame, for example, and the GitHub URL opened up will have the absolute path in your file system, which will (most likely) not exist in GitHub