This tutorial helped me find the solution: https://medium.com/analytics-vidhya/creating-cascading-context-menus-with-the-windows-10-registry-f1cf3cd8398f

Issue with the tutorial above is that it showing the context menu for directories but I wanted to do it for a specific file extension (.exr in my case).

This answer: https://stackoverflow.com/a/47745854/13806195 show me how to do it for file extension. As you don't need the ProgID your keys are not associated with your default programs for the extension.

Here is how the final arborescence should looks like:

HKEY_CLASSES_ROOT
     SystemFileAssociations
          .exr
                shell
                      root_menu_name
                      MUIVerb = "Pretty name of your menu"
                      subcommands = ""
                           shell
                                sub_menu_name_01
                                            command
                                            @=yourcommand
                                sub_menu_name_02
                                            command
                                            @=yourcommand

.reg file example to register the keys:

Windows Registry Editor Version 5.00

[HKEY_CLASSES_ROOT\\SystemFileAssociations\\.exr\\shell\\ExrCommands]
"MUIVerb"="Exr Commands"
"subCommands"= ""

[HKEY_CLASSES_ROOT\\SystemFileAssociations\\.exr\\shell\\ExrCommands\\shell\\cmd01\\command]
@="\\"D:\\\\Script\\\\APP.exe\\" \\"%1\\" \\"arg01\\""

[HKEY_CLASSES_ROOT\\SystemFileAssociations\\.exr\\shell\\ExrCommands\\shell\\cmd02\\command]
@="\\"D:\\\\Script\\\\APP.exe\\" \\"%1\\" \\"arg02\\""

Some tips for writing the reg file:

• If you don't know how to write the key you can create it in the Registery Editor and then do a File> Export. You will have a .reg file that you can inspect.
• If you need to write a " write \\" instead. Same for \\ that needs to be \\\\ .
• ⚠️ There's a limit of 16 entries for each context menu entry, including submenus and any entry inside of them. — ( https://stackoverflow.com/questions/48625223/is-there-a-maximum-right-click-context-menu-items-limit )