In Safar browser View menu, enable Show Status bar. When you pass your pointer over a website PDF link, the status of that link path will appear bottom-left in the Safari browser. If the end of that link ends in .pdf, then you should be able to view the PDF in Safari via the built-in PDF plug-in, or download the PDF using a right-click on the link, and then selecting one of the download options.
Some websites may be using a content manager, and this allows them to assign aliases on the web site that point to the actual PDF file location on their site. That way, if the PDF name changes, that alias will still act on the PDF, when you click the link. These aliases will not end in .pdf.
Once you have the PDF on your local drive, then it would be your choice of the operating system supplied Preview application, or the current Adobe Acrobat Reader DC that is compatible with Catalina.