**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
describe('requests', function () {
  beforeEach(function () {
    jasmine.Ajax.install();
  });
  afterEach(function () {
    jasmine.Ajax.uninstall();
  });
  it('should treat single string arg as url', function (done) {
    axios('/foo');
    getAjaxRequest().then(function (request) {
      expect(request.url).toBe('/foo');
      expect(request.method).toBe('GET');
      done();
    });
  });
  it('should treat method value as lowercase string', function (done) {
    axios({
      url: '/foo',
      method: 'POST'
    }).then(function (response) {
      expect(response.config.method).toBe('post');
      done();
    });
    getAjaxRequest().then(function (request) {
      request.respondWith({
        status: 200
      });
    });
  });
  it('should allow string arg as url, and config arg', function (done) {