Mx had the right answer, but I wanted to post the full solution and a few more details in case anyone else is trying to do this:
If you use the "copy url" feature in the library, you get a url like this (depending on the options selected):
From my testing, the above never opens in the client.
However, the following will open in the client:
Mx suggested using the following:
This seems to work even smoother, as the one above will prompt the user, asking them if they want to open the file, while Mx's url just opens immediately. I'm sure there are security implications with this, so test accordingly.
Of course, the one drawback with this is that there is nothing in the GUI that I'm aware of that allows us to get these urls, and they will have to be created manually.