**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
}
    axios('/foo', {
      responseType: 'arraybuffer'
    }).then(function (data) {
      response = data;
    });
    getAjaxRequest().then(function (request) {
      request.respondWith({
        status: 200,
        response: str2ab('Hello world')
      });
      setTimeout(function () {
        expect(response.data.byteLength).toBe(22);
        done();
      }, 100);
    });
  });
  it('should support URLSearchParams', function (done) {
    var params = new URLSearchParams();
    params.append('param1', 'value1');
    params.append('param2', 'value2');
    axios.post('/foo', params);
    getAjaxRequest().then(function (request) {
      expect(request.requestHeaders['Content-Type']).toBe('application/x-www-form-urlencoded;charset=utf-8');
      expect(request.params).toBe('param1=value1&param2=value2');
      done();
    });
  });
});