MS Word links to open files, change to weblinks when converted to PDF

I'm trying to create a Word document with hyperlinks that open local files, and save this file to a PDF with similar functionality. However, even though PDF can natively create hyperlinks that open local files- when a Word doc is saved as a PDF, those hyperlinks are read as weblinks- so the link simply opens a browser and downloads the file from the server to my machine, rather than opening the file the way the Word doc does. Any tips on how to get these links to translate correctly during the conversion? Thanks!