The definition of convex is slightly off, you mean that any line segment connecting two points in the subset is contained within it. Also, I'm not quite sure what you mean by tangent in this case, perhaps you mean that the extended line is tangent or that there is some point in the interior of the segment that is a boundary point.
Let $S$ be a line segment whose endpoints are in the set. If $S$ intersects the interior, then there is some point $s\in S$ and a radius $\delta$ such that the open ball centered at $s$ and of radius $\delta$ lies inside the convex set. In other words, $B(s,\delta)$ is contained within the convex set.
Since $B(s,\delta)$ is a open disk with $s$ its center, we can extend $S$ into a line $L$ whose intersection with the open disk is a diameter. Then, we can choose points $x$ and $y$ so that they are in the disk and to either side of the line $L$. These points are in the convex set.
Let $s_0$ and $s_1$ be the endpoints of $S$. Consider the line segments between $x$ and $s_0$ and $y$ and $s_0$. These segments must be part of the convex set. Let these segments be called $S_x$ and $S_y$, respectively. Finally, for any point $z$ in $S_x$ or $S_y$, consider the segment between $z$ and $s_1$. This segment is in the convex set.
Combining all of these, you end up showing that no point of the interior of $S$ can be a boundary point of the convex set.