I'm not sure I understand what you're asking. A "context menu" is when you check + click (or double-click or right-click) on something and a menu appears on that site. When you do this in Safari, you get what you get, depending on what you click on. I don't see anywhere you can record a context menu that lists a list of windows. The only menu where I see a list of windows is the Window menu, which displays a list of Windows at the bottom, just like any app would. You can use these to switch to a window. Closing a window is a matter of switching to it and then clicking the red button at the top left, or using File, Close Window (Shift + Command + w).
If you are looking for a quick way to close windows, you can always use Command + ~ to switch windows and then Shift + Command + w to close them. The + w command also works as long as the window has only one tab open. You can also use the Control + down arrow to see all open windows to select one.