You cannot convert .url files to anything useful. Of course you could open them in text editor and print that as PDF file, but that's more or less useless. Another possibility would be to open the website saved in the .url via a web browser and export the web as PDF document.
Convert Internet Shortcut - URL - Uniform Resource Locator to Adobe Portable document format.
We have found 3 software records in our database eligible for .url to .pdf file format conversion.
Microsoft Windows software - convert url to pdf on Windows
A popular free web browser from Mozilla
Convert from url file format
The tables with software actions are a good pointer for what a certain program does with various file types and often may give users a good hint how to perform certain file conversion, for example the above-mentioned url to pdf. However, it is not perfect and sometimes can show results which are not really usable because of how certain programs work with files and the possible conversion is thus actually not possible at all.
A popular Internet browser from Google
Apple macOS / Mac OS X software - convert url to pdf on OS X
A default web browser integrated to Apple Mac OS X