Sorry, that's not an option in the widget. If enough people want it, I would consider adding it, but for now it doesn't seem like very many people want it. There *is* a widget_twitter_content filter that you could use to add the link. Currently the URL isn't passed to that filter, but I'll tag version 2.3.8 right now (should be available in 15-20 minutes). With that version you should be able to link all the text like this:
function link_tweet_text( $tweet_text, $tweet ) {
return "<a href='http://twitter.com/{$tweet->user->screen_name}/statuses/{$tweet->id_str}'>{$tweet_text}</a>";
}
add_filter( 'widget_twitter_content', 'link_tweet_text', null, 2);
By the way, I love the way you styled the tweet!