The menu is created from the virtual pages, there is really only 1 physical page (Default.aspx) which serves all the virtual pages. You can link to a physical page by creating a virtual page then entering a fully qualified url to the physical page like http://fullurltoyourpage.aspx. You can even link diectly to pages external to the site, like you could have a page/link in the menu tha links to http://google.com

However in terms of feature development that is really kind of working against the grain of the syetem rather than with it. Its better to build at least the entry point to your feature as a UserControl which can be plugged into virtual pages like all the other features. 

One of the disadvantages of linking to a physical page is that the menu won't highlight the current page as selected if you do that because you've basically bypassed the virtual page and there is no pageid associated with your physical page so the menu doesn't know it is the current page. Whereas if you work with the system and use virtual pages the menu is smart enough to know which page is the current page because the friendly url maps to a pageid.

Hope it helps,

Joe