It’s not currently possible, but if you’d like you could make a feature request for it, details for doing so are HERE. I doubt it would be implemented, though…just a personal feeling.

Maybe much better would be allowing submenus under the Macro menu; then macros could be organized in various ways, including roughly what you’re asking for (although having the same macros appear in more than one submenu – for multiple file types – would be problematic).

After some research, I found a request for submenus in existence already HERE.