Yes that should be selectable, but I think it mostly it depends on the menu system & wysiwyg editor you're using.
HTMLArea is still the default editor and it is not XHTML compliant and it's not maintained any more.
If you have installed FCK or Xina there's different options for links (although I can't recall if no target is one of them), and if you've used show_menu2 in your template, then the menu links can or will be XHTML compliant. Be aware that old templates may still be using page_menu, not even the new show_menu, which I think is not compliant either.