For those who wouldn't stumble upon the right topic, like me, who found the way by looking how to do it in Atom before attempting a switch (lol), here is one alternate way: use the RIGHT key to open the file selected on the Goto Anything panel.
I.e. type Ctrl+P, type your expression, then do DOWN, RIGHT, DOWN, RIGHT, DOWN, RIGHT, etc. for as many documents as you have.
That's as close as it comes. It would be awesome if you could select multiple documents like in JetBrains IDEs, but it doesn't exist yet. It is usable though, and you can preview them before opening everything blindly.
Customer support service by UserEcho