The grub setup is rather simple and not very flexible. There's just one file to modify, as you found out (/etc/grub.cfg in BIOS mode, /etc/grub-efi.cfg in EFI mode, both being symbolic links to the actual file location).
You can add an entry to it, but there's a small chance this doesn't play well with scripts from either XenServer or ourselves which may want to update the file and get confused. It's usually better to just modify the existing entries, ideally using /opt/xensource/libexec/xen-cmdline, so that the file structure remains unchanged.