Try my Active Menu Selector widget. Direct download link below – drop this in your /widgets directory and press F4 in Studio Pro to refresh it.
See the readme for details on how to implement (it should be super easy).
You could try writing custom css/sass for your requirement and use the :selected property on the navigation item.
More information on customizing your style of your application here: Implement Styles - Studio Pro 9 How-to's | Mendix Documentation and Customize Styling - Studio Pro 9 How-to's | Mendix Documentation
Hope this helps.