As others stated, there is no standard on that (besides MIDI 2.0 which is no „standard“ at all at the moment) and would require a custom implementation for the device.
A few years ago I experimented with a Teensy microcontroller and a Native Instruments M32 keyboard to make a „smarter“ MIDI controller with some deeper integration out of it - on its own the M32 is almost useless as a MIDI controller and needs the NI software on a computer to work properly. The challenge was, this controller uses a bit of MIDI for communication, but the interesting stuff is happening as a USB HID device (setting text on the display, using the capacitive touch knobs, setting LED lighting of the buttons). I reversed engineered parts of its protocol using a USB sniffer software and in the end a had a proof-of-concept running on the Teensy. For different reasons I stopped pursuing this project, but I always wanted to revive this project and the code, not on a microcontroller, but as a module in VCV Rack. At some point I even asked how to approach communication with HID.
I just had a few day of free time and I finally explored how to setup the build system to allow this kind of communication with hardware. I hacked together an expander for MIDI-CAT, which directly accesses the mapping slots for two-way communication. Considering the time I spent on it, it’s working pretty nicely: when I touch one of the knobs, the displays shows the parameters name and its value. Just like the tooltip on parameters on the screen.
Now, to lower any expectations, this is far from polished and I am not even sure what to do with it. Most probably it will go back into my virtual drawer of unfinished ideas for VCV Rack modules, I don’t know. In any case, any other hardware controller than the M32 will not work with it and would need some kind of custom „driver“ for the protocol.