Grav doesn't really have this concept of 'modules' that Joomla does. The reason behind this is that working with distinct blocks is limiting, and Grav lets you display anything anywhere. Simply add the logic where you want it.
The menu in 'most' themes is displayed by just looping over the pages object from the Twig template. You can adapt this or loop over specific pages and output an unordered HTML list in a sidebar, then simply style it with CSS. The blog skeleton has a simple sidebar, if you look in the sidebar partial of the antimatter theme, you'll see twig logic there to output items for a menu.
This is pretty trivial if you poke around a theme, but it's not very well documented. I've made a note to add this to our cookbook section. https://learn.getgrav.org/cookbook