Your app "knows" which URLs were visited since it passed it with OpenURL to the browser. The most straightforward solution is therefore that your app keeps track of them on its own, e.g. by storing them in a StringList and, for persistence, by saving this StringList as a tab-delimited file (or in another suitable format like CSV or XML). At OnShow or OnCreate it could check the StringList and, e.g., colourise the URLs in a different way (or do whatever action you desire).
The alternative way would be to communicate with your browser and get the history list. This option is, however, browser- and platform-dependent.