First, you must enable mouse support with :set mouse=a
.
In GVim you also need to :set mousemodel=popup
to activate builtin popup menu.
In Neovim it all depends on GUI frontend, as Neovim itself has no GUI code builtin. So you should consult the help system of relevant frontend to know if you have to do something or if that's possible at all.
However, as @statox mentioned in a comment above, in Vim/Neovim the major part of editing actions should be done mouseless. Of course, this is not an absolute strict rule, but, at least the most frequent ones, such as copy/paste, really belong to your keyboard. IfI encourage you fail to do so you will continuously suffer of "that stupid UI" and end up quitting from Vim for evergive this a try, even if it is a paradigm-shift.