Hello,
The default behavior of phpdocx is saving the DOCX into the filesystem but not downloading it (https://www.phpdocx.com/documentation/cookbook/download-generated-docx). Using a Premium license you can enable the stream mode in the config/phpdocxconfig.ini file or through a static variable (CreateDocx::$streamMode) to return the DOCX as a stream an avoid creating the DOCX in the fs. On https://www.phpdocx.com/documentation/cookbook/improve-phpdocx-performance you can read about more information about the stream mode.
About the conversion to PDF, the DOCX must exist in the filesystem to be able to transform it into another document format.
Regards.