I'm not sure if you're aware, but an RPG Maker game's default menu is full of battle and party related options that make no sense for Escaped Chasm to have, as there are no battles and there's only one party member ever. Saving seems to have been intentionally disabled (a run through the game is like max. 20 minutes so I don't really see a great need for it anyways) and shutting down you can already do via regular program controls, so that leaves the options as the only useful menu command.
Could the useless menu buttons be removed? Could the game be made to open the options menu instead of the main menu when X is pressed? Yes and yes, but both require modifying the game scripts which Temmie knows basically nothing about (as she's pointed out before) so it was certainly easier for her to make her test game simply not have a menu. To me, it looked like even less of a default RPG Maker game without it (which is a good thing).