There's a lot of wrong information in this thread, and I wonder if some of it is due to confusion about what sinuses are. They are not your nostrils: when you have a stuffy nose that's, well, your nose. If you have sinus issues, that's a separate thing; they are basically hollow spaces in your facial bones. They are lined with epithelium which can become swollen, and they can fill with fluid - these are sinus problems, specifically.

I know nothing about whether any of these substances affects sinuses.

However, I do know that they do affect your nasal passages, so the top-voted comment which says they don't is wrong (even though it's talking about sinuses as well as the nose). Menthol in particular is vasoactive and, in the nose, it acts as a vasoconstrictor. (Presumably the cold receptors are acting as they would if they detected actual cold - but this is complicated. Read more here) Your stuffy nose is primarily the result of your nasal lining swelling. With the blood vessels constricted, the swelling decreases and more air can pass through your nose, so you can breathe more easily. This is why menthol is an active ingredient in some decongestants.