It ist possible, but you need URL encoding for the link.
I do it as follows in Windows 10. I first open the document in Chrome browser (CTRL+O). Then I paste the URL encoded link from the address line into the Obsidian link.
Here is an example of a link to a PDF document which is stored in folder H:\_downloads
[Article (S. Aaronson, 2020) - The Busy Beaver Frontier (Survey) v2.pdf](file:///H:/_downloads/Article%20(S.%20Aaronson,%202020)%20-%20The%20Busy%20Beaver%20Frontier%20(Survey)%20v2.pdf)