The way I done my in-game menu is like this:
I've created a new layer called "InGame Menu".
I've added all the sprites and all what I needed there, then I set the layer to Global (Properties -> Editor Properties).
I've created a new event sheet(only event sheet, without layout) where I've added my code.
The last step is to include your event sheet in every layout (Level) and add a new layer called "InGame Menu" in every layout as well.