From http://wordpress.stackexchange.com/questions/121123/how-to-add-a-data-attribute-to-a-wordpress-menu-item OptinMonster MonsterLink from WordPress menu by adding data-optin-slug attribute.

wp-menu-monsterlink.php

add_filter( 'nav_menu_link_attributes', 'optinmonster_monsterlink_menu_atts', 10, 3 );
function optinmonster_monsterlink_menu_atts( $atts, $item, $args )
{
  // The ID of the target menu item
  $menu_target = 123;

  // inspect $item
  if ($item->ID == $menu_target) {
    $atts['data-optin-slug'] = 'h95qqg9sqx9atrsl';
  }
  return $atts;
}