The menu are made up of 5 UMG classes. 4 of them (audio/video/mouse/game) are transparent and are contained inside the 5th container class with tabs to swap between them. You can replace this container to change the main look and feel of menu.
If you know the basics of UMG and blueprints, it should be easy to look at the container class and learn from it’s implementation or modify it to your needs.