It will be helpful to know what version of RoboHelp you are using.
But generally speaking, if you have a PDF and want one or more HTML topics to be created from it, you need to import the PDF into the project.
The only other way I'm aware of is to create an inliine frame in a topic, then configure the inline frame to link to the PDF.
Oops, nevermind on version. You are reporting RoboHelp 2019.
But is it the all new 2019? Or the classic 2019? If it's the classic, what I said earlier still applies. If it's the new, I'll have to check on that. The new 2019 isn't feature complete yet. So that may simply be one of the features that still needs to be implemented.