**Describe the bug**
When using axios to get a local file (`file://...`) I get status code 0 as if there's a CORS issue. This didn't happen using version 0.18.0 so I assume that this is a bug?

**To Reproduce**
Get a local file. In my case I wanted to get a PDF as an array buffer.

```js
axios("file://...", {
    responseType: 'arraybuffer'
    headers: {
        Accept: 'application/pdf'
    }
}).then(..)
```

**Expected behavior**
Just like in version 0.18.0 version I should get a 200 response.

**Environment:**
 - Axios Version 0.19.0
 - OS: Windows 10
 - Browser: EO Webbrowser (Chromium)
 - Browser Version: 19.1.95 (Chromium ~70)
 - Additional Library Versions:  React 16.8.6

**Additional context/Screenshots**
Need to build and run index.html locally so you're making the request from file:// as well.
test/specs/requests.spec.js
}, 100);
    });
  });
  it('should supply correct response', function (done) {
    var response;
    axios.post('/foo').then(function (res) {
      response = res;
    });
    getAjaxRequest().then(function (request) {
      request.respondWith({
        status: 200,
        statusText: 'OK',
        responseText: '{"foo": "bar"}',
        headers: {
          'Content-Type': 'application/json'
        }
      });
      setTimeout(function () {
        expect(response.data.foo).toEqual('bar');
        expect(response.status).toEqual(200);
        expect(response.statusText).toEqual('OK');
        expect(response.headers['content-type']).toEqual('application/json');
        done();
      }, 100);
    });
  });
  it('should not modify the config url with relative baseURL', function (done) {
    var config;
    axios.get('/foo', {
        baseURL: '/api'