A bug in macOS Mojave 10.14.5

I have the same issue. I’m on the same version of Mojave as you. I use the following workaround:

In the menu bar go to Publish > Preview Options
Then on the right click Configure
Then in the bottom left, click the Publish Locally button.

This is not ideal but at least it lets me preview things. I saw another thread on this issue but it seems the problem there was that their disk was case-sensitive and mine is case-insensitive: Preview got a file not found page