Ah, I found the problem:
I've got /usr/local/bin/awk installed which states when running jwm_makemenu:
awk: cmd. line:18: (FILENAME=/usr/local/tce.menu/menu FNR=4) fatal: file `/usr/local/tce.menu/' is a directory.
If I change the line 9 in /usr/bin/jwm_makemenu from:
awk -v appname="$1" -v outfile="$OUTFILE"
to:
busybox awk -v appname="$1" -v outfile="$OUTFILE"
the menus are created. I haven't done anything with awk, so I can't tell if the script needs fixing, but at least, I can introduce a workaround.