Here is a sentence with PDF link to file.
Step 1: Select the words that will create the link, in above case... PDF link
Step 2: Click the link icon in the toolbar.
Step 3: On pop up window, click File, if your PDF file is located on your computer.
Step 4: Click on the big + on the window bottom, locate the PDF file on your desktop and click ok. That does it!
Only time you're given the Open in New Window option is when the PDF file or link you're placing in is not on your site. So if you're linking to someone else's webpage, that option is available. For a PDF file that is shown within your site, the option is not available so the PDF will open within the same window.
Also, say you've already uploaded a PDF and want that PDF link throughout your website in different places, you don't have to upload the PDF file each time. Simply click "Existing" instead of File and the PDF file appears on the list. Select and you're good to go.