There is no option for suppressing application of the hyperlink style when
creating a hyperlink in Word. Even if you insert the hyperlink field
manually (Ctrl+F9, type hyperlink "name of link", and press F9), Word still
applies the Hyperlink style to it.
The only way around this I can think of would be to use a macro that
immediately applies the current default paragraph font style to the link
after inserting the hyperlink. Note that depending on what style is being
used, this might not always be Default Paragraph Font. Even if you use a
macro, however, you'll still be stuck if/when the template containing the
macro gets corrupted (eventually, all heavily used templates get corrupted
at one time or another, in my experience).
As Stefan indicated, if the desired result is to avoid blue underlining,
it's much easier to modify the Hyperlink and FollowedHyperlink styles. I
understand what you're saying about these changes being undone if you have
to reset normal.dot, or simply not used if you use a different template to
create a document, but those are the immutable "facts of life" in using
Word. However, if you keep backup copies of a working and uncorrupted
customized Normal.dot and other templates you customize to "tame" the
hyperlink styles, then you have restoration from backup as an option when/if
normal.dot or other templates get corrupted and need to be reset.