I have a mixed answer: Yes and no.
Yes, albeit a workaround, when creating a custom action in Thunar. No, because this workaround works for additional right-click menu in Thunar but not for existing entries of menu.
In Thunar file manager, click on Edit > Configure Custom Actions... then a small window will appear as shown below. For example, I have created a custom menu called "Toggle menu bar".
Notice that the shortcut text "(Ctrl+M)" is added to the name of custom menu. This can be done in Edit Action (the pencil icon) > Basic tab and edit text field Name.
This will result the right-click menu in Thunar to look like below.
Useful for once, but useless in general
The workaround above is useful to show/hide menu bar. Because once user hides the menu bar in Thunar, there is no clue to restore from the default right-click menu or toolbar. Unless, the user remembers to press Ctrl+M keys to restore or press F10 key to show menu bar temporarily.
On the other hand, showing the shortcut for the action in right-click menu is mostly useless. This is not just Thunar, but applies to almost any application in general. In fact, I have never seen any application in Linux or Windows that behaves so.