The nice thing about the Office OpenXML is that it’s the language of Microsoft Office — if you live your “office life” in Word and Excel (2007 and later), that’s the format you want.
Can you “save” OpenXML directly to PDF? No, it needs to be rendered by some third-party component.
If you’re doing document generation on the server side and you don’t need to be working with Office documents as output, you’d generally use something like iText or iTextSharp, which would render the PDFs directly.
I haven’t worked with a server-side component that will do the translation from Office OpenXML to PDF, though.