Opening private window

Hello, This is my first post. The issue I’m having is that I can’t open the private window by itself from the window menu. In order to open the private window I have to open the regular window first then open the private window, I don’t why it’s happening. as for the chrome the incognito opening by itself.
I’m guessing for some reason windows preventing the private/incognito window to open directly. Any help will be helpful

Not sure if it’s the same question being asked, but does this thread help at all? How to? External link clicks default to incognito tab?