Is it possible to have the menu item image sourced from an exe or dll contained one or more icons?
Some features of Windows show an icon from a registry setting that has the full exe filename followed by a comma and then a number which is the icon index.
If not natively, perhaps an API function?
Yes, you would need to use some MS-Window API's for an "on-the-fly" icon extraction. Unfortunately, something that I have never had to do. So I cannot advise you any further. Hopefully, René's URL link will help.
Regards ... Chris