I was unable to
create a command button  that didn't have that option  on the right-click
menu, so I'm not sure what happened to you there.

However, you can assign  the macro  to the button using code. Go into the VBA
editor (Alt and F11). Insert a module by right clicking on your worksheet
and choosing, insert, then module. Add the following lines of code:

Sub Button1_Click()
Macro1
End Sub

Just change the Button1 to be the name of your button, and change the Macro1
to be the name of your macro.