You can use the ModifierKeys static property on control to determine if the shift key is being held.
if (Control.ModifierKeys == Keys.Shift ) {
...
}
This is a flag style enum though so depending on your situation you may want to do more rigorous testing.
Also note that this will check to see if the Shift key is held at the moment you check the value. Not the moment when the menu open was initiated. That may not be a significant difference for your application but it’s worth noting.