What constitutes a word as far as selection with double-clicking is concerned is terminal (and/or X toolkit) dependant and for some terminals, customizable.
For xterm, characters are organised in classes (letters, spaces...) and double clicking selects adjacent characters of the same class.
The default is described there. In that default, : is not in the same class as / itself not in the same class as letters or digits.
Some systems change that default by providing a resource file for xterm like /etc/X11/app-defaults/XTerm.
On a Linux Mint system, in there, I find:
! Here is a pattern that is useful for double-clicking on a URL:
*charClass: 33:48,35:48,37-38:48,43-47:48,58:48,61:48,63-64:48,95:48,126:48
That puts characters 58 (:) and 47 in the same class as letters and digits (48).
What you could do is change that to leave : in its own class via your own resource file.
For instance, if you add:
XTerm*charClass: 33:48,35:48,37-38:48,43-47:48,61:48,63-64:48,95:48,126:48
to your ~/".Xdefaults-$(uname -n)", then double clicking on the file name will stop at the :.
You can experiment with it with:
xterm -cc 33:48,35:48,37-38:48,43-47:48,61:48,63-64:48,95:48,126:48
You can also define a different selection method on triple or quadruple click as a regular expression. For instance
XTerm*on3Clicks: regex [^:]+
Would select sequences of non-colon characters upon triple-click.