Get all entities tagged with term taxonomy_select_nodes returns all the nodes tagged with a given tid. This function checks the taxonomy_index table. 
That table stores the tid and the nids on which it is tagged. 

Let's say I have some custom entities with terms on them AND a user entity with terms on it, how do I get all the entities tagged with a given tid? Can this be done in 1 query/function?
I'm afraid not. The taxonomy index table is maintained specifically for nodes. There is no equivalent for other entities. It would be possible to maintain an index of your own though.

A workaround would be reusing the same field on different fieldable entities. Then you would only need to query the data field table to get all referenced entities.