JS Bin// source http://jsbin.com/wacibirore

index.js

var Categories = {};

fetch('http://api.bigchefs.protelworks.com/menu/items/').then(function (response) {
  return response.json();
}).then(function (data) {
  console.log(data);
  data.menu_items.forEach(function (obj) {
    if (!_.has(Categories, obj.categories)) {
      _.set(Categories, obj.categories.join(".") + '.items', []);
    }
    var items = _.get(Categories, obj.categories.join(".") + '.items');
    items.push(obj);
  });
  console.log(Categories);
});