Hi Will Captein,
I apologize for all the trouble it has caused and sorry about your time.
As per your description, actually, based on my experience, if you are willing to try, I think it’s better to use OneDrive sync feature, you can go to SharePoint document library and click Sync button and sign in OneDrive to sync the files in File Explorer, then you can open the files in app not online.
More details please see Sync SharePoint files and folders.
You try following steps to create the shortcuts of the documents located on SharePoint site. Before you start, please make sure you have installed the OneDrive client on your Computer.
1: Go to the SharePoint site library and click Sync button to sync this library to you computer by using OneDrive.
2: After the library has been synced to your computer, it would be open in File Explorer. Then you can right click on the document you would like to create shortcut and select Send to > Desktop (create shortcut).
3: Then the document shortcut will be created on your desktop and you can directly open in desktop app by clicking. Please make sure you have sign in your relevant account in Office application.
I appreciate your patience and understanding.
Best Regards
Waqas Muhammad