I hope I didn't miss, but I haven't found any answer for this question in the community. I only found this answer, but it describes how to do so when accessing PDF files from the file system, not via links when browsing Safari.
Can I set Safari to open PDF files in Preview by default? (instead of opening it in a new browser tab)
The closest behavior I get is when I ask to download the file, Safari is set to immediately open it in Preview. However what I would like to achieve is that instead of haveing to load it first in the browser and press on download (or alternatively having to right-click and chose "Download Linked File") I would be able to simply click on the link of the PDF and automatically open it in Preview.