I don't know about the word to pdf to mobi (via Calibre), but I had similar problems trying to create a mobi with external hyperlinks. If you create an html file with external links, you won't be able to import it into Calibre. Calibre's html import function tries to gather all the files that the hyperlinks point to and add them all to a zip archive. If those hyperlinks point to external websites... the import will bomb.
I had to abandon Calibre entirely and create an html file, then convert it to mobi with the html2mobi script (part of MobiPerl) to get it to work. I'm not sure why it's so difficult to create a mobi file with external links... could be that MobiPocket Creator would work, but I've not used that program in a long while.
(Mainly because they don't have a Linux version)
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