Guessed is right.
Checking under the entries when you select Word Commands in the Macros in: control of the Macros dialog, there does not appear to be an item that you can use to intercept that command.
As a result, probably the best thing to do is modify the Ribbon or the File BackStage view so that it contains a custom button that uses the ExportAsFixedFormat command to save the file as a pdf and also provides the option to save the a copy of the pdf to another folder.
See my:
http://gregmaxey.com/word_tip_pages/customize_ribbon_main.html