Different applications deal with hyperlinks in different ways; I don't think there is a way to change that.

For example, a link in your browser will always open in the browser, but the browser, in turn, will redirect to whichever PDF reader is your default. Word does it the same way: if the hyperlink is on the internet (with for example a path starting with http), the default browser tries to open the document; if it's a PDF, a PDF application window opens within a browser window.

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Stefan Blom
Microsoft Word MVP

Microsoft 365 apps for business
Windows 11 Professional