There are two sublime plugins for Haxe. Although sublime does not work for projects for me at all, it does open the compile list you’re looking for.
I installed Sublime,
the package manager,
restarted sublime,
installed haxe-sublime-bundle by clemos,
and restarted Sublime.
Then I was able to ctrl+shift+b and get all of these options.
Did you install the correct package correctly and restart sublime when instructed?