Missunderstanding of WordPress menus

I guess you mean the wp_page_menu fallback, where you can use the filters wp_page_menu_args and wp_page_menu to modify it’s output.

Notice that this function is a wrapper for the wp_list_pages() function, that ships with the wp_list_pages_excludes and the wp_list_pages filters.

That function is again wrapper for the walk_page_tree() function, that activates the Walker_Page class walker by default. This class extends the Walker class.

Here’s a little schematic overview:

wp_nav_menu()  
     \
      \__ wp_page_menu()   # fallback
              \
               \__ wp_list_pages()
                       \
                        \__ walk_page_tree()
                                 \
                                  \__ new Walker_Page   # default walker
                                            \
                                             \__ extends Walker

So there are few ways to modify the output from wp_page_menu().