You can convert the offline websites to an ebook format. calibre comes with recipes for scraping many news sites, for example.
I don't see how hyperlinked PDFs can ever work out, since the link will die as soon as you move the linked file or transfer the first PDF to a new device/computer. Unless you mean the 2nd PDF is on the internet. In which case I know the Kindle can open hyperlinks from within ebooks (including from PDFs) in the browser. Books can be downloaded from the browser in mobi/prc/azw/azw3 formats. There is a hack that will allow you to download anything, including PDF.
I don't know about other ereaders.
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