Click inside shape with direct selection tool instead of on the line.

Check the Prefecrences in section »Selection & Anchor Display« if yo have the option »Object selection by path only« selected. If you have a shape with no fill then you can only select it, clicking directly on the shape’s outlines. Also mind the selection indicator next to the arrow which is a small black square telling you if you can select or not.

@default65pqdmmbhf51 you could try wireframe mode? View - Outline (keyboard shortcuts, Command Y for the Mac, or Control Y for PC). The one on the right is what you can see in wireframe mode. Here, you can use the Direct Selection to select the inner most shape. To turn off the wireframe to go back to Preview mode (the one on the left), just click on View - Outline (keyboard shortcuts, Command Y for the Mac, or Control Y for PC) again.