**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
.then(function () {
        expect(resolveSpy).toHaveBeenCalled();
        expect(rejectSpy).not.toHaveBeenCalled();
        done();
      });
    getAjaxRequest().then(function (request) {
      request.respondWith({
        status: 500
      });
    });
  });
  
  it('should return JSON when rejecting', function (done) {
    var response;
    axios('/api/account/signup', {
      username: null,
      password: null
    }, {
      method: 'post',
      headers: {
        'Accept': 'application/json'
      }
    })
    .catch(function (error) {
      response = error.response;
    });
    getAjaxRequest().then(function (request) {
      request.respondWith({
        status: 400,
        statusText: 'Bad Request',