No, there is no option to right click and open the file location. I have been asking for this for years. The best I can offer at the moment is to open the PDF in acrobat (or your PDF viewer of choice) as Leanne suggests, then choose save as from within acrobat. Then you can copy the folder path in the save dialog box and paste it into a file explorer window to get to where the PDF is saved.
Also note, another way to open the PDF is to choose the reference in the library window and click on the icon that looks like a folder in the main toolbar.