I've been trying to figure out the same thing. Coming from Moto I was used to being able to do this. What I have found so far is that after double tapping the notification it asks me to swipe to unlock and then the app is opened. Unfortunately, I cannot say that this works each time, but it has worked with singular notifications and when there are numerous notifications on the lock screen and I tap the one I want to see. Long story short I cannot duplicate the action each time so for the explanation from someone else would be welcome.