No, empties are a special sort of object that you are not going to have access to for WhenClicked or WhenHovered.
You have several methods open to you when trying to change textures. It will depend on your particular use case.
If you have a button and you want you have texture on it that says “on” and when you click it…you want it to say “off”. Then one way is to create one image that has both the on label and the off label. You will can then control the location of the mapping by using a value node. You will use the material puzzle Set Value in Material to the cooresponding value you need for off or on.
Another way to do the same thing is to have materials. You will need three objects: your button and two planes. Assign your On material to Plane 1 and your Off material to Plane 2.
Then you can use the assign material button inside your WhenClicked. Be sure to place Plane 1 and Plane 2 out of camera view.
There are some other options as well.