This is possibly not precisely what you are after, but one option would be to use the “Add link” contextual menu.
I have a particular highlight colour that I only use to indicate text that I want associated/linked with other files. As in the screengrab below, I have highlighted an article that I have in green, and have selected the “Add link” with that text still selected. In the background, I have “Copied item link” of that PDF article, which I then paste in as the “link” over in the initial PDF.
That entire green highlight is now a live-link to the related PDF. Clicking on it, takes me directly to it – but then my view is switched. Right+clicking it, brings up the contextual menu, which (at the top) allows me to select that PDF opening in a new tab, or in a new window/instance.
This doesn’t do what you want exactly, in that one wouldn’t see any reference to that link (or others) over in the Inspector window – but if this is something you do frequently, then presumably getting into the habit of doing it two the first word on the first page of every PDF – or some other consistent ‘spot’ inside your PDFs – would allow one to quickly get used to checking the document to ‘see’ if there is a link to another document…