**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
}).catch(function (error) {
        config = error.config;
    });
    getAjaxRequest().then(function (request) {
      request.respondWith({
        status: 404,
        statusText: 'NOT FOUND',
        responseText: 'Resource not found'
      });
      setTimeout(function () {
        expect(config.baseURL).toEqual('/api');
        expect(config.url).toEqual('/foo');
        done();
      }, 100);
    });
  });
  it('should allow overriding Content-Type header case-insensitive', function (done) {
    var response;
    var contentType = 'application/vnd.myapp.type+json';
    axios.post('/foo', { prop: 'value' }, {
      headers: {
        'content-type': contentType
      }
    }).then(function (res) {
      response = res;
    });
    getAjaxRequest().then(function (request) {
      expect(request.requestHeaders['Content-Type']).toEqual(contentType);
      done();
    });