There's a way, but it's rather a hack than a feature.
For exmaple, for built-in Office2003 demo, I've added style (classes figured out from FireBug):
.nrf0221-3, .nrf0221-1, .nrf0221-4
{
background: url(images/magnify-clip.png) no-repeat center left;
}
This overrides rendered styles used by context menu by adding images.
Another option, if you just have source code of the control. In this case you can simply modify rendering function the way you need.