Unfortunately macros, lisp and script run inside the drawing's namespace. So if there's no drawing open at the time, it cannot run.
I haven't tried it, but if you compile a LSP into a FAS/VLX there's an option to compile it into its own namespace (separate from the DWG). How you would call that though is still a blur in my mind.
The only other alternatives I can think of would be
- VBA (perhaps, but still how do you call it from the menu without any DWG open, perhaps using an event).
- DotNet, you should probably also add an event to catch the menu choice. A command won't cut it as you can't issue a command without a DWG open.
- ARX, same as the rest - an event is your only possible alternative (AFAICT)