Hello,

Yes it is possible to run your scenario.
I suggest you to modify the item in export context menu with new menu item.
And set the menu item’s event as you please.

You could modify the export context menu item in OnExportContextMenu client side event of WebGrid.
Here’s the example snippet code that perhaps you could use.

function WebGrid1_OnExportContextMenu(controlId, table, menu, location) {
    var WebGrid1 = ISGetObject(controlId);
            
    // Clear all default Export Context Menu
    menu.ClearAll();

    // Create new menu item
    var menuItem = new WebMenuItem();
    menuItem.Text = "My Menu Item";
    menuItem.Name = "MyMenu";
    menuItem.OnClick = "NewFile";

    // Add Menu Item    
    menu.Items.Add(menuItem);

    return true;
}

function NewFile() {
    alert("Your new file");
}

I attached the example sample, that implement customize export context menu, as well.

Hope this helps. Thank you.