var
  m: TMenuItem;
  navidummy: TComponent;
  ..........................................................

  procedure TMyForm.CreatePopUpMM(Sender: TObject);
begin

  Navidummy.free;
  Navidummy := TComponent.create(self);

  while not NaviT.EOF do
  begin
    m := TMenuItem.create(navidummy);
    II := II + 1;
    with m do
    begin
      name := 'MM' + IntToStr(II);
      caption := NaviT.Fieldbyname('MyWHAT').AsString;
      tag := NaviT.Fieldbyname('MyTAG').AsInteger;
      visible := True;
      OnClick := NaviExec;
    end;
    MyMenuItem.add(m);
    NaviT.Next;
  end;
  NaviT.Close;
end;

procedure TMyForm.NaviExec(Sender: TObject);
begin
  { Здесь я получаю то, что хочу ! }
  What.text := (Sender as TMenuItem).Caption;
  Key := (Sender as TMenuItem).Tag;
end;