I use the Neo Euler which has no doublestruck characters. Maybe I use old code, but I really think that the following has worked before:
\definefontfamily [mainface] [rm] [TeX Gyre Pagella]
\definefallbackfamily [mainface] [mm] [TeX Gyre Pagella Math][range=uppercasedoublestruck]
\definefontfamily [mainface] [mm] [Neo Euler]
\setupbodyfont[mainface,12pt]
\starttext
\startTEXpage[offset=3pt]
Test: $\blackboard C$ or $\mathbb C$
\switchtobodyfont[pagella]
Test: $\blackboard C$ or $\mathbb C$
\stopTEXpage
\stoptex
I would expect doublestruck letters in the output on the first line. The resulting file, compiled with a fresh Standalone, is attached.