No, it's a shell feature. Terminal emulators don't even know what shell are running typically, and I haven't heard of them adding shell features. That would require the terminal emulator knowing you're using bash, knowing how to interrogate history etc..

From man bash:

       yank-last-arg (M-., M-_)
              Insert  the last argument to the previous command (the last word
              of the previous history entry).  With a numeric argument, behave
              exactly  like  yank-nth-arg.   Successive calls to yank-last-arg
              move back through the history list, inserting the last word  (or
              the  word  specified  by the argument to the first call) of each
              line in turn.  Any numeric argument supplied to these successive
              calls  determines  the direction to move through the history.  A
              negative argument switches the  direction  through  the  history
              (back or forward).  The history expansion facilities are used to
              extract the last word, as if the "!$" history expansion had been
              specified.