It depends on how the PDF was created. Firefox does not make plain URLs automatically clickable like Adobe Reader, and I guess like Opera, although I have not tested it. Firefox only shows makes a clickable link when the author of the PDF created that kind of annotation in the file.

If you want to open a plain URL in a PDF in Firefox, you would need to select it then right-click > Open Link in New Tab (or other Open Link option).

By the way, Firefox's built-in PDF viewer is a slight variation of a project called pdf.js. "Linkifying" URLs is on the wish list for that project (https://github.com/mozilla/pdf.js/issues/3172), but not actively being worked on, so if you need one-click convenience, Firefox isn't your best PDF viewer.