Found this on another site, hope it helps.
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.
These seem to be two popular methods to accomplish what you are looking to do.