Hi Nick,
I was thinking you could fake it by using manual links to point to pdfs and set them to open in new window
e.g. folder of images and manual links pointing to pdf in site
or
you could use the gallery as a content source
1. drag an image into the content and then remove the link to the image and replace with the link direct to the pdf
or
Use text content e.g. intro text or full item text and add the links that way but this becomes something you could do using a custom html module
As Saguaros said pdfs aren't an available content source but there are some work arounds to fake it a bit
Cheers
Paul