Ok I'm going to assume we are talking about my Screenshot Captor tool. Screenshot Captor knows how to save PDF files, but it has some trouble showing them in its window since they aren't normal images. They aren't a great format to save in for many reasons. My suggestion is to take screenshots in PNG format, which is efficient and lossless, and export to PDF when you need (you can even combine multiple images to one pdf).
I will try to add pdf previewing inside Screenshot Captor, but again it's a poor choice for saving screenshots because you can't really edit the files.