Wow, thanks, now I get how it works, I knew there must be some simple way to do it. 
Adding [*.] before URL.com does its job pretty well too. I should have paid more attention at the start. 
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Opera for WindowsRE: [Solved] Is there any way to delete all cookies in Opera at close but leave few sites allowed?
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Opera for WindowsRE: One page can't be saved as mhtml in new Opera since 13.03.2020
Hey, if still someone's interested in this bug I know how to semi-fix it. You have to open Privacy and Security options and go to PDF documents pad. Here you have to turn on downloading .pdf files instead of autoopening them in Opera. Thanks to this action pdf doc embedded in the frame on the site gonna turn into URL and you will be able to save this page in .mhtml, just without pdf inside.