No, it was not designed to do this, it just enables text links to open a new window to be added to a page using a shortcode.
I can’t think of a use case where I’d want a menu to make this kind of popup window rather than going to another page, so it is unlikely that I would add that functionality unless someone really needs this enough to sponsor the development.
A similar question has been asked previously, however in that case the user was using a manually coded menu, so this isn’t likely to be a good solution for most people: http://ww.wp.xz.cn/support/topic/make-menu-item-refer-to-popup
edit: My Alligator Menu Popup plugin is now available and enables menu items to be opened in a popup window.
