Here's the best workaround I could find (piecing together solutions found on StackOverflow): 

1. create "subl.command" file as follows:

$ echo $'#!/bin/bash\n\nsubl -n' > ~/arsenal/macosx/subl.command
$ chmod +x ~/arsenal/macosx/subl.command

2. Open Terminal.app Settings, and under "Settings > Shell" select "Close if shell exited cleanly" option under "When the shell exits:"

3. When you want to open a new Sublime Text window in a new Mission Control space, use Spotlight (press "CMD+Space") to run "subl.command" .. VOILA

It's nice that it's all keyboard-driven, BUT I would still prefer right-click option.

Totally. I find myself always wanting this. Probably scriptable in Automator or something, but what a bore.