As far as I experienced, it is not supported. I just did an update to Version 1.5.53.26270
I had the same idea about indexing my several thousand PDFs within one PDF containing several thousand hyperlinks to locally stored PDFs. This works fine on my PC but not on the DPTS1. Even simple local HTMLs with hyperlinks to local PDF-files seem not to be supported.
This would really help, since in the directory listing there are only 32 files listed per page and the incredible slow page change does not allow to browse/scroll through thousands of files or subdirectories within a reasonable amount of time.
Is there any chance to get an official feedback from the Sony developers?