Thats true, there is not link, but there is a kind of manual workaround although not very smooth but should work. You can make two new custom fields, one on Purchase orders and one in Purchase invoice, for example named Purchase Order Ref., or atleast named exactly the same.
When copy to Purchase invoice is done the contents of the Custom field gets also copied if same names. Only downside of this is manual input, but it can be advantageus if this field only gets input just prior to the Copy to Purchase invoice is done but then you can tell which purchase orders have been transformed to Purchase invoice and which purchase orders have not.
This Purchase Order Ref., can be used in Custom Reports for Purchase Invoices.