I think it is possible and it should be an option. I also could be wrong but it seems that you are confusing the bootloader menu, which gives you a choice of different operating systems, with a possible boot option menu of the chosen OS. Such menu already exists. You see it when you have more than 1 save files. The boot process stops and asks you, which save file to load. A similar menu would be possible to give you a choice, which Puppy files to load. I miss this very much. I miss an option to chose, which of the additional files apart from the main sfs to load, e.g. a choice to load the adrv or not. Such menu would have to be defined in the init file ... maybe one day I will do it
I recommend to read the excellent explanation in the /initrd/README.txt file. Gives also some clues what might have happened to @Governor:
* A typical frugal install of Puppy is a directory containing the above files.
* So init begins by establishing the location of this directory,
by looking for the puppy...sfs file.
* In the absence of any indication as to it's location, init searches throughout
the partitions of the system until it finds it.