While a menu is open. witch is the better way to don't allow other scrips get key codes?

It's best to have a controller script that controls which inputs are allowed or not. Commonly the Game-State pattern is used for this.

     States:
 
     - Default
     - InGame
     - InMenu
     - Paused
 
 

     enum GameState  {
         Default,
         InGame,
         InMenu,
         Paused
     }
 
     // Game state variable 
     public GameState gameState = GameState.Default;
 
     public GameObject UI;
     public GameObject Game;
 
     void Update () {
         switch (gameState){
             case (GameState.Default):
                 UI.GetComponent<UIController>().Show();
                 Game.GetComponent<GameController>().Reset();
                 return;
             case (GameState.InGame):
                 UI.GetComponent<UIController>().Hide();
                 Game.GetComponent<GameController>().Play();
                 return;
             case (GameState.InMenu):
                 UI.GetComponent<UIController>().Show();
                 Game.GetComponent<GameController>().Pause();
                 return;
             case (GameState.Paused):
                 UI.GetComponent<UIController>().Hide();
                 Game.GetComponent<GameController>().Pause();
                 return;
         }
     }
 
     if (GameState == GameState.InGame){
         
     }