This is possible, provided that every user who clicks:
a) Has a copy of Microsoft Word installed on the device they click from
b) Can access a shared drive (or url) from the device they click from
You create a custom field, then populate it with something like this:
ms-word:ofe|u|file://F:/dir/filename.docx
ms-word:ofe|u|file://///server/fshare/dir/filename.docx
ms-word:ofe|u|https://www.server.com/filename.docx
.. then make the widget of the field URL so that it becomes clickable.
ofe = open for editing
ofv = open for viewing
This works for Microsoft Word, PowerPoint, Excel, Visio, Access, Project, Publisher, Sharepoint, and InfoPath.
For information on the syntax, please review https://docs.microsoft.com/en-us/office/client-developer/office-uri-schemes