I want to add an event when people click the confirmation email link to confirm the as a newsletter subscriber.
where I should add this event inside the magento?
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There is no specific event for that.
Byt you can use model event for that.
You can use model_save_after or model_save_before and then you can check and add your logic for your click.
You can see all event list in below link.
Please refer this link:- https://www.mageplaza.com/magento-2-module-development/magento-2-events.html
Hope this will work for you.