By default (ActiveOnFocus="False") KeyTrigger and GamepadTrigger hook to the XAML root to listen for the KeyDown/Up event.
In this case what is happening with the KeyTrigger Key="A" is that no element in the event route is handling that key, so it reaches the root, and then the KeyTrigger can process the event and execute the actions.
But for GamepadTrigger Button="Cancel" the MenuItem that has the submenu opened, as it is part of the event route, it handles the key (Cancel == Escape) and closes the submenu, so when the event reaches the root it is already handled and the GamepadTrigger is not processed.

If you use another gamepad button (for example the "Menu" button) that is not handled by elements in the tree, then the GamepadTrigger works as expected.

But what you should do is to set ActiveOnFocus="True" so the GamepadTrigger is processed on the ContextMenu where you are defining it. That way the trigger can be processed and execute its actions before other elements in the tree.

<ContextMenu Name="MyContextMenu">

<b:Interaction.Triggers>

<noesis:GamepadTrigger Button="Cancel" FiredOn="ButtonDown" ActiveOnFocus="True">

<b:InvokeCommandAction Command="{Binding Path=DataContext.DebugPrint, ElementName=MainWindow}" CommandParameter="GAMEPAD_TRIGGER"/>

</noesis:GamepadTrigger>

<b:Interaction.Triggers>

...

</ContextMenu>