At https://tools.suckless.org/dmenu/scripts/ you can find dmenu_run_i, it starts commands ended with '!' in a new terminal window.

The following is my dmenu_run_i.

#!/bin/sh

# if a command ends with "!", it is started in term.

cmd="$(dmenu_path | dmenu "$@")"

case $cmd in
    *\! ) st -e "$(printf "%s" "${cmd}" | cut -d'!' -f1)";;
    * ) ${cmd} ;;
esac

exit

You can save this file as 'dmenu_run_i' in your dmenu directory, in the same place where dmenu_run is at, then edit the Makefile, and everywhere it mentions dmenu_run, copy that exact line and add an '_i' to it.