Yes, you can do this with the Print function in the browser. When you preview the lesson, you can right click and select Print > Change the destination to Save as PDF > Name the PDF file and click save. Before you save as PDF, you may want to eliminate the backgrounds, headers and footers with the options in the print window. You can then upload the PDF as a document to use in your system.
But please note that if you have forms or a discussion box in the course lesson, the PDF version will show them, but the clients will not be able to complete the forms or post in the discussion boxes, unless they are on the actual web page of the course lesson, on your Console private website.