WordPress Menu Customizer

You can do this two ways.

1. Add new section to existing nav_menus panel and then add your controls to the section:

$wp_customize->add_section('my_section', array(
    'title'    => 'My options',
    'panel' => 'nav_menus'
));
$wp_customize->add_setting('my_setting', array(
    'type'              => 'theme_mod',
    'settings'          => 'my_section',
    'capability'        => 'edit_theme_options',
    'sanitize_callback' => 'sanitize_my_setting'
));
$wp_customize->add_control('my_control', array(
    'label'   => 'My option',
    'section' => 'my_section',
    'type'    => 'text'
));

2. Add new controls to existing menu_locations section:

wp_customize->add_setting('my_setting', array(
    'settings'          => 'menu_locations',
    'capability'        => 'edit_theme_options',
    'sanitize_callback' => 'sanitize_my_setting'
));

$wp_customize->add_control('my_control', array(
    'label'   => 'My Option',
    'section' => 'menu_locations',
    'type'    => 'text'
));

If I were you I would choose first solution because it makes Customizer more cleaner but it depends on your needs. I hop it will help