Multi_key, also known as Dead_key, Compose_key is one of a keyboard button adapted to trigger insertion of an alternate character:
Alt Gray is another [Alt] key on the right side of a keyboard, it is often applied as a Multi_key. Win — “Windows” key on a computer keyboard. And yes, Menu is the context-menu key on the right side of keyboard. Thus,
setxkbmap -option "grp:lctrl_lwin_rctrl_menu"
means ‘left Ctrl’ with ‘left Win’ for Latin, and ‘right Ctrl’ with ‘Menu’ will togle Cyrillic input.
The most of that explained in the file mentioned above: /usr/local/lib/X11/locale/en_US.UTF-8/Compose
Xcompose key binding was discussed here last year: