For a use case with a lot of custom menu items I had to add arrows or buttons inside a menu. I prefer to just make them all regular menu items and tweak them with twig. Below is my menu--main.html.twig file. You can see a lot of levels and custom classes or html. You'll find a lot of what you might need in here.
{#
/**
* @file
* Default theme implementation to display a menu.
*
* Available variables:
* - menu_name: The machine name of the menu.
* - items: A nested list of menu items. Each menu item contains:
* - attributes: HTML attributes for the menu item.
* - below: The menu item child items.
* - title: The menu link title.
* - url: The menu link url, instance of \Drupal\Core\Url
* - localized_options: Menu link localized options.
* - is_expanded: TRUE if the link has visible children within the current
* menu tree.
* - is_collapsed: TRUE if the link has children within the current menu tree
* that are not currently visible.
* - in_active_trail: TRUE if the link is in the active trail.
*
* @ingroup themeable
*/
#}
{% import _self as menus %}
{#
We call a macro which calls itself to render the full tree.
@see https://twig.symfony.com/doc/1.x/tags/macro.html
#}
{{ menus.menu_links(items, attributes, 0) }}
{% macro menu_links(items, attributes, menu_level) %}
{% import _self as menus %}
{% if items %}
{% if menu_level == 0 %}
<ul class="list-reset flex-1 lg:flex items-center relative lg:justify-between lg:ml-5 lg:mr-5">
{% for item in items %}
{% if item.below %}
<li{{ item.attributes.addClass('menu-level-1','block', 'no-underline', 'py-6', 'border-b-1', 'border-0', 'leading-7', 'border-white') }} aria-haspopup="true" aria-expanded="false" aria-controls="{{ item.url }}" aria-label="Navigation">
{{ link(item.title, item.url, { 'class': ['block', 'text-white', 'lg:text-blue700', 'text-3xl', 'lg:text-lg', 'cursor-pointer'] }) }}
{{ menus.menu_links(item.below, attributes, menu_level + 1) }}
{% else %}
<li{{ item.attributes.addClass('block', 'no-underline', 'py-6', 'border-b-1', 'leading-7', 'border-white') }}>
{{ link(item.title, item.url, { 'class': ['block', 'text-white', 'lg:text-blue700', 'text-3xl'] }) }}
{% endif %}
</li>
{% set parentLevel = item.title %}
{% endfor %}
{% elseif menu_level == 1 %}
<ul class="hidden list-reset flex-1 items-center lg:absolute lg:bg-white lg:p-12 lg:py-10 lg:z-10">
{% for item in items %}
{% if item.below %}
<li{{ item.attributes.addClass('my-4', 'block', 'no-underline', 'py-2', 'menu-level-2') }} >
{{ link(item.title, item.url, { 'class': ['pb-1', 'block', 'text-white', 'lg:text-blue700', 'text-normal', 'lg:text-lg', 'lg:font-bold', 'border-b-1', 'border-white', 'lg:border-b-1', 'lg:border-blue700', 'lg:pb-2', 'lg:mb-3'] }) }}
{{ menus.menu_links(item.below, attributes, menu_level + 1) }}
{% else %}
<li{{ item.attributes.addClass('block', 'mt-4', 'w-full') }}>
{{ link(item.title, item.url, { 'class': ['pb-1', 'border-0', 'block', 'text-white', 'lg:text-blue700', 'text-normal', 'font-bold'] }) }}
{% endif %}
</li>
{% endfor %}
{% else %}
<ul class="list-reset flex-1 items-center">
{% for item in items %}
{% if item.below %}
<li{{ item.attributes.addClass('my-4', 'block', 'no-underline', 'py-2') }} aria-haspopup="true" aria-expanded="false" aria-controls="menu-{{ menu_level + 1 }}" aria-label="Navigation">
{{ link(item.title, item.url, { 'class': ['pb-1', 'block', 'text-white', 'lg:text-blue700', 'text-normal', 'font-bold'] }) }}
{{ menus.menu_links(item.below, attributes, menu_level + 1) }}
{% else %}
<li{{ item.attributes.addClass('block', 'mt-4', 'w-full') }}>
{% if item.url.getOption('attributes').class == 'entrepreneurs' %}
{% set title %}
<img src="/themes/custom/mytheme/img/icon/building_white.svg" class="inline float-left w-2/12 w-auto mr-3"> {{ item.title }}
{% endset %}
{{ link(title, item.url, { 'class': ['btn bg-white lg:bg-blue500 text-blue700 lg:text-white text-2xl py-4 px-4 block border-0'] }) }}
{% elseif item.url.getOption('attributes').class == 'researchers' %}
{% set title %}
<img src="/themes/custom/mytheme/img/icon/magnifier_white.svg" class="inline float-left w-2/12 w-auto mr-3"> {{ item.title }}
{% endset %}
{{ link(title, item.url, { 'class': ['btn bg-green500 text-blue700 text-2xl py-4 px-4 block border-0'] }) }}
{% elseif item.url.getOption('attributes').class == 'governments' %}
{% set title %}
<img src="/themes/custom/mytheme/img/icon/office_white.svg" class="inline float-left w-2/12 w-auto mr-3"> {{ item.title }}
{% endset %}
{{ link(title, item.url, { 'class': ['btn bg-blue700 text-white text-2xl py-4 px-4 block border-0'] }) }}
{% else %}
{{ link(item.title, item.url, { 'class': ['pb-1', 'border-0', 'block', 'text-white', 'lg:text-blue700', 'text-normal', 'font-bold', 'no-underline'] }) }}
{% endif %}
</li>
{% endif %}
{% endfor %}
{% endif %}
</ul>
{% endif %}
{% endmacro %}