In SharePoint 2007, it was possible to add file://... in the Link to document content type using this trick (no need of code):
- At first, enter http://
- Then, modify the properties and change http:// to file://
In SharePoint 2013 / Office 365, this trick also works but when you click on the link it opens a blank page sadly.
Therefore to make it work in SharePoint 2013, the only way would be to use the .lnk workaround.
1) You will need to remove the blocked file lnk. I wouldn't worry, read Joel Oleson who is not scarred to do it
http://www.collabshow.com/2013/10/31/sharepoint-2013-and-office-365-sharepoint-online-file-size-limits-on-folders-and-list-restrictions/ and in Office 365 there are just a 6 blocked file types
https://support.office.com/en-au/article/Types-of-files-that-cannot-be-added-to-a-list-or-library-30be234d-e551-4c2a-8de8-f8546ffbf5b3.
2) You need to run this PowerShell code in order to be able to open the file from the library (with buttons open/save/cancel) otherwise you will need to save the file.
$webApplication = Get-SPWebApplication "http://your web app"
$webApplication.AllowedInlineDownloadedMimeTypes.Add("application/octet-stream")
$webApplication.Update()
Hope it helps somebody.