From the docs of setMnemonic:
The mnemonic is the key which when combined with the look and feel's mouseless modifier (usually Alt) will activate this button if focus is contained somewhere within this button's ancestor window.
Thus using setMnemonic to do this is impossible.
However, you can use the setAccelerator method defined for JMenuItem
s, passing a keystroke like KeyStroke.getKeyStroke('e');
Alternatively, you could, as Joop Eggen pointed out in the comments to this answer use a MenuKeyListener which allows for greater control over the specific events that the action is performed on.