Bexuyett70 I think that 1st class coaches are not available between Tirano and Colico and it is not possible to buy tickets with 1st class only for the second part of the trip.
A solution is to book separate tickets: Tirano - Colico 2nd class and Colico - Milano 1st class. Please note that two check-ins will be necessary: before boarding in Tirano and before boarding in Colico.
If you book tickets on Trenitalia, I suggest to create an account and also install the app on your mobile phone (or to book directly in the app). After this, you can manage your tickets in the app to make the check-ins.