That would be in SKS. Open up the skin in it and go to Edit Controls, Edit Menus and Menubars, Popup Menus, Menu Item. Then click on the Text tab in the bottom center area and edit the State to Modify settings for each of the state you want to change by selecting the state, and then in the Text font drop down list list select/change or create the font you want to use in that state (it is usually the same for all states). Note that it might be better if you create a new font and use it for each state, as changing existing fonts no doubt will affect other areas of the skin.

Hope this helps. 

Just for the records,you can edit the WB skin files(.uis|.sss) with the text editor,sometimes the setting go aberration that you have to overhaul entire parameters to target the specific area.  

Ive just read this page about the right-click menus in windows 10. So looks like we will have to wait for Stardock to update WB and SKS.