Viewing SharePoint PDFs in widget in Chrome security error

We have a report that contains a number of links to PDF files stored on our organization SharePoint site. When a user clicks on one of these links while in the Chrome or Firefox (and likely others, but not Edge) browser, the widget is blank, displaying only a little sheild icon. The tooltip on this icon reads:

This widget contains web content not provided by Microsoft. Web content could contain code with security or privacy risks.

Is there a workaround for this issue? Having the PDF open in the widget is really nice from an end user experience standpoint, but if we have to have them open in a new tab, that wouldn't be the end of the world. Just want to confirm that the current process is a dead end before proceeding.

Thanks.