JME and Swing

Is there anyway to use swing to create menus in JME applications?

Can you explain me how?

Yes, there is JMEDesktop.

You can render Swing inside of JME,

have a look at HelloJMEDesktop and TestJMEDesktop in the jmetest package.

But as much as I heart JMEDesktop is a little bit buggy, but I haven't tried it yet.

There are also several other possibilities for drawing a GUI / HUD.

Search around the forum, there is FengGUI, GBUI, Java2D integration and some others.