A radio frequency (RF) coaxial transmission line to be positioned within a wellbore in a subterranean formation may include a series of coaxial sections coupled together in end-to-end relation. Each coaxial section may include an inner conductor, a dual-wall outer conductor surrounding the inner conductor, and a dielectric therebetween. Each of the dual-wall outer conductors may include an outer wall and an inner wall spaced apart therefrom defining a fluid passageway. Each coaxial section may further include a threaded endpiece coupled to each opposing end of the dual-wall outer conductor and having threads to define an overlapping mechanical threaded joint and an electrical joint with an adjacent threaded endpiece.