Out of the box, Numbers cannot link to a non-Numbers local document other than an email.
Numbers can create a link to a webpage, or to a sheet (in Numbers, a "sheet" is a tab within a single spreadsheet), or to a specific email. Numbers cannot, however, create a link to other types of files. This Apple Numbers page contains this text:
Link to a webpage, email, or sheet in Numbers on Mac
You can turn any text into a link that opens another sheet in the spreadsheet or opens a webpage or email message.
Numbers automatically detects valid web addresses (URLs) and email addresses and styles them (for example, with an underline or different color) to indicate that they’re active links. You can edit these links or deactivate them so that they appear and behave as normal text. If you don’t want Numbers to automatically detect links, you can turn off automatic link formatting.
The same text (and same limitation as to linked filed types) appears in Numbers on-line help, and in the Menu Bar at Numbers > Format > Add Link.