It's very hard for you to create this kind of button directly from the toolbar.

 

Because CuteEditor has a lot of code behind-the-Scenes to support catch the anchor, show the anchor and insert the anchor to the correct location.

 

Here is my suggestion:

 

Add a browse button in the InsertAnchor.aspx. When the use click the browse button, we open a pop-up window which allows the user chose from the dropdown menu. If they select any dropdown menu item, we close the pop-up window and return the result to the name text box of InsertAnchor.aspx.

 

That will resove your problem.

 

Hope it helps.