Tab/Page control are components by the OS (Windows, gtk, qt, cocoa). Those OS control the behaviour.
I don't know if any (and/or which) of those OS offer settings that could change this. But afaik, even if, its not implemented in the LCL.
As for Windows, as far as I am aware there is no option in the Windows API to control this.
There may be some custom drawn page controls if you search for them. They might look different, especially if you use them cross platform, but the might offer this as they aren't OS dependent.