I just tried that: selected from outside and inserted in tmux with 'shift insert', not with the wheel.I just tried copy & pasting in xterm using tmux, shift+Insert and clicking to mouse wheel and it does work, did you try these?
IBM Common User AccessWhat is that with 'shift insert'?
set -g mouse on
tmux
feature that with that (not necessary) configuration, copy and paste need Shift to be pressed.