Provide a name for your window and explicitly bind to it such as
<window x:Name="ReportsPage"/>
...
<MenuItem DataContext="{Binding ElementName=ReportsPage}"/>
UPDATE
Since the context menu is actually in its own window, binding is a bit trickier. Hence the best bet is to walk up the RelativeSource
to the context's parent and pull the header text from there:
<Window.DataContext>
<local:MainVM HeaderText="Jabberwocky" />
</Window.DataContext>
...
<TextBlock Text="{Binding HeaderText}">
<TextBlock.ContextMenu>
<ContextMenu>
<MenuItem Header="{Binding Path=Parent.DataContext.HeaderText,
RelativeSource={RelativeSource Self}}" />
</ContextMenu>
</TextBlock.ContextMenu>
Which for this context produces this
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…