This thread has a solution to add onClick events to controls dynamically.  As it turns out, although you can add your own event, you can't add your own event AND have your normal control_click() event, too.  It's just that you can set it at runtime via code, and it can be named whatever you want (as long as it is a function).
This sort of answers my question: you CAN add an onclick event to every control dynamically without having to create them in the gui.  Here is the syntax which you can put in form_onload if you like:
with Me.myControl
    Me.myControl.OnEnter = "=SomeFunction()"
end with
And here's how to add an .OnEnter event to every textbox control (just call the SetReportControls method from form_open:
Private Sub SetReportControls()
    Dim ctrl As Control
    For Each ctrl In Me.Controls
        With ctrl
            If TypeOf ctrl Is Access.TextBox Then
                .OnEnter = "=ReportControl(false)"
            End If
        End With
    Next
End Sub
Private Function ReportControl(Cancel As Integer)
    msgbox Screen.ActiveControl.Name
End Function