I did a lot of research and found that it’s possible to return a value from x-callback urls, making possible to open the newly created Ulysses Sheet.
Also, it’s possible to expand Text Expander abbreviations via Applescript (version 6.2.2 onwards).
I didn’t test that feature as I’m not a TE user myself, but apparently it’s possible with expand string command:
tell application "TextExpander" to expand string ";uly"
Improved macro:
Keyboard Maestro 8.1.1 “Create New Ulysses Sheet & Open” Macro