Markdown group file export to PDF

Doing a document as a set of markdown files, with links between. Is there a way to export a whole group as one paginated PDF, where it preserves links between sections?

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While it’s possible to convert & merge the documents as one PDF, its links are currently not changed and therefore will link back to the original Markdown documents.

Assuming you have MD files A, B and C and something like
[](A) in B, [](B) in C and [](C) in A.
Now you create a PDF from these three files. What do you want the links point to, as there are no individual files anymore?
Perhaps each of the MD files contains a level 1 header (# some header text)? Then one could create links to them in the PDF. But if these headers are not present?

In any case, your only chance to do what you want would be writing some kind of code. It might be possible with a script. But it’s not obvious (to me).