I have an NSSegmentedControl on my UI with 4 buttons. The control is connected to a method that will call different methods depending on which segment is clicked:
I'm not sure of any built-in way to do this (though it really is a glaring hole in the NSSegmentedControl API).
My recommendation is to continue doing what you're doing popping up the context menu. However, instead of just using the segmented control's origin, you could position it directly under the segment (like you want) by doing the following:
NSPoint menuOrigin = [segmentedControl frame].origin;
menuOrigin.x = NSMaxX([segmentedControl frame]) - [segmentedControl widthForSegment:4];
// Use menuOrigin where you _were_ just using [segmentedControl frame].origin
It's not perfect or ideal, but it should get the job done and give the appearance/behavior your users expect.
(as an aside, NSSegmentedControl really needs a -rectForSegment: method)