Any way to do custom action from clicking an #autocomplete_path option
It is not possible: The purpose of the autocomplete callback is to offer suggestions to autocomplete what the user is entering.
Basing on what entered from the user, the callback needs to return the possible values the user could be writing; it is not supposed to redirect the user to a different page, considering that the user has not selected any of the values returned from the autocomplete callback, and that the callback doesn't know which of the returned values the user selected.