Thank you @ricklinux. I managed to map it to my caps lock key (rarely ever use that) with:
xmodmap -e "keycode 66 = Pause Break Pause Break Pause Break"
The only problem is that caps-lock now does both actions.
To clarify: when I press Ctrll-Alt-Caps in Citrix Workspace App I get the context menu of Citrix, which is what I want. However, I also seem to get into “Caps lock” state and produces all-caps.
Looking for a way around that now…