I don’t think there is a(n easy) way.
this is the related section from /wp-includes/post-template.php (line 1058++):
$css_class = implode( ' ', apply_filters( 'page_css_class', $css_class, $page, $depth, $args, $current_page ) );
$output .= $indent . '<li class="' . $css_class . '"><a href="' . get_permalink($page->ID) . '">' . $link_before . apply_filters( 'the_title', $page->post_title, $page->ID ) . $link_after . '</a>';
generally I don’t see any formatting issues the way it is; or any advantages to have the class on the link tag.
I was trying to have a div popup when a user clicks on the name of the page, but I decided to go a different route…so I took the page out of the navigation and just added it as a section on the website itself – now it appears on all pages without the need for the popup.
Thanks,
Josh