I am using the follwing (extracted) typescript lines for math in the lucida fonts:
\starttypescript [luc]
\definetypeface [luc][mm][math][lucidayy][default][encoding=texnansi]
\definetypeface [luc][mm][bfmath][lucidayy][default][encoding=texnansi]
\stoptypescript
\starttypescript [math] [lucidayy] [default]
\definebodyfont [default] [mm]
[mr=MathRoman mo 1, mi=MathItalic mo 1, ....]
\stoptypescript
******************************************************************************
\starttypescript [bfmath] [lucidayy] [default]
\definebodyfont [default] [mm]
[mrbf=MathRomanBold mo 1, mibf=MathItalicBold mo 1, ....]
\stoptypescript
******************************************************************************
\starttypescript [math] [lucidayy] [name]
\definefontsynonym [MathRoman] [LucidaBright]
\definefontsynonym [MathItalic] [LucidaNewMath-AltItalic]
\stoptypescript
\starttypescript [math] [lucidayy] [texnansi,ec,8r]
\definefontsynonym [LucidaBright] [hlhr8y] [encoding=texnansi]
\definefontsynonym [LucidaNewMath-AltItalic] [hlcrima]
\stoptypescript
\starttypescript [bfmath] [lucidayy] [name]
\definefontsynonym [MathRomanBold] [LucidaBright-Demi]
\definefontsynonym [MathItalicBold] [LucidaNewMath-AltDemiItalic]
\stoptypescript
\starttypescript [bfmath] [lucidayy] [texnansi,ec,8r]
\definefontsynonym [LucidaBright-Demi] [hlhb8y] [encoding=texnansi]
\definefontsynonym [LucidaNewMath-AltDemiItalic] [hlcdima]
\stoptypescript
Typesetting:
\starttext
\usetypescript[luc][texnansi]\setupbodyfont[luc,10pt]\lucidatrue
{$\sqrt{a^2 + b^2} = c + \mf\sin{}x\quad {\ma NZRC}$}\crlf
\stoptext
Gives me for the variables neatly LucidaNewMath-AltItalic.
*** Changing the fonts in the above typescript does work ***
But typesetting
\starttext
\usetypescript[luc][texnansi]\setupbodyfont[luc,10pt]\lucidatrue
{$\bfmath\sqrt{a^2 + b^2} = c + \mf\sin{}x\quad {\ma NZRC}$}\crlf
\stoptext
Gives me LucidaBright-Demi instead of LucidaNewMath-AltDemiItalic.
Everything else however (even the blackletters from ma) are in the correct bold math font.
The font must be present, because substituting MathItalicBold for MathItalic in the [math] script proves that.
*** But not coming from my typescript I conclude from several experiments ***