At this moment, there is not built-in property for specifying a context menu for the calendar headers but you can use one of the following options:
1. Use an active area with action: "ContextMenu" and specify the context menu using the menu property of the active area. You can add the active area to the header using the onBeforeHeaderRender event (see Calendar column header customization in the docs).
2. You can create the context menu manually and open in the the onHeaderClick event - see Calendar header click and DayPilot.Menu.show().