It is possible to do this with using span tags (as seen here in the right menu on one of their demos). Give this a try:
<ul>
<li><a href='Page1.aspx'>Item with no submenu</a></li>
<li>
<span>Click this to expand</span>
<ul>
<li><a href='sub1.aspx'>Submenu 1</a></li>
<li><a href='sub2.aspx'>Submenu 2</a></li>
</ul>
</li>
</ul>
(You were also missing a closing on your nested unordered list.