Comment # 2 on bug 1087537 from Stefan Hundhammer

Those menus have their own very special event handler that doesn't care about
any fancy things we added otherwise. So, sorry, but [PrintScreen] just doesn't
work here.

Even in the installed system, you'd have to use a screenshot tool (most
desktops provide their own) and use "make screenshot after selected timeout",
then set that timeout to something like 3-5 seconds, click that tool's "make
screenshot" button and then quickly open that context menu or whatever again.
That's just how things work on X11.