You need to right-click the folder itself to add a bookmark to it. An empty folder does not yet have any menuitems inside it to right-click in order to make the "Bookmark Tab Here" item appear in the context menu. Right-clicking the "Empty" notation will not work and it is not possible for me to change that.
Edit: "Bookmark Tab Here" does not appear in the Library context menu due to https://bugzilla.mozilla.org/show_bug.cgi?id=1419195
An alternative would be to drag/drop the item you wish to bookmark, into the Library.