Hey Max, I think your problem is related to UE4 input handling, not the menu system. Usually in BP your “Key Pressed” nodes will not trigger while game is paused. There is, however, a way to solve your issue. Just click on to that “Key Pressed” node once and look at the details tab. There is an option “Execute when Paused”, which is not selected by default. After enabling this option that node will also trigger when the game is paused.
Hope that helps!