This is a longstanding limitation in the X11 server. Global keyboard shortcuts in general don’t work properly with dropdown menus. By contrast, this works without any problems on Wayland: hitting PrtScr while a menu is open captures the menu just fine.
but this doesn’t work for me, at all. Not even a delay works
As a workaround, open spectacle beforehand, set a delay, and open the menu in that time.
Are you using “Active Window” or “Window under Cursor” mode? If so, does it work if you use “Rectangular Region” or “Full screen” mode in conjunction with a delay?
Ahhh now I can reproduce. “Active Window” (or using Meta+PrtScr) doesn’t show context menu. Using Full screen (Or PrtScr or Shift+PrtScr) will show the context menu.