In my limited testing this seems to be limitation in most apps when they're full screen. In Chrome when it's full screen it takes you to a new tab but disables the location keyboard shortcut.
I suspect this has to do with how full screen is actually implemented. Full screen is built on top of spaces and so applications can behave quite differently in spaces vs. in the normal view.
This Apple Insider article reiterates this point, titled:How to use Spaces, Apple's mostly ignored macOS Mojave productivity feature
Whenever you take an app's window to full screen, your Mac actually
creates a new Space and puts it in there. Full Screen and Split View
are productivity features of the Mac that have a lot of rough edges
and this blurring between them and Spaces doesn't help.
There conclusion in that article is mine as well. I use full screen and spaces sparingly because I find them a confusing mess of behaviors unfortunately.
The answer to this is to use Spaces but use it sparingly. Don't take
up all 16 possible Spaces, just have one or two. Try to keep all the
documents from one app in one space, at least until you're so used to
moving around that it's second nature.