It shows the usual menu: "Open with Document viewer", "Open with other application" and then copy/paste etc.
Double-clicking the PDF doesn't work. "Open with Document viewer" doesn't work. "Open with other application and then selecting "Document viewer" however works.
This is not only the case with PDF's but also images ("Open with geeqie" doesn't work, however "Open with other application and then selecting "geeqie" does work. Same also with text documents, LibreOffice documents etc. Basically, with all files that I want to open from nautilus.