Something along these lines will create a menu for you:-

Set myMenuBar = CommandBars.ActiveMenuBar
Set newMenu = myMenuBar.Controls.Add(Type:=msoControlPopup, _
befo=8, Temporary:=True)
newMenu.Caption = "New Menu"
Set MenuItem = newMenu.Controls _
.Add(Type:=msoControlButton, ID:=1)
With MenuItem
.Caption = "Remove Data"
.FaceId = 110
.TooltipText = "Data Removal"
.OnAction = "removeData"
End With

Then, you can remove it when shutting down by using:-

Application.CommandBars("Worksheet Menu Bar").Controls("New Menu").Delete