Ah, I see what you mean now. Note that a link to a PDF should open and render the PDF directly in firefox, so that’s probably not a good example (if it doesn’t, it’s a separate issue).
I am able to reproduce the issue if I click on a link to e.g. a doc file. Opening the file with the default “Url Handler Script” results in “user-open error: no such file or directory”.
If I select a different application (e.g. libreoffice writer, I think this requires the libreoffice snap to be installed), the file doesn’t open either, but the error is different: “/usr/bin/env: ‘/tmp/mozilla_osomon0/sample-1.doc’: Permission denied”. This is a different issue that is being discussed in another thread.