Yes, this is achieved using grouped business objects and is considered an advanced topic. Essentially you build a single business object and then extend it (add child objects) to be a grouped object in the same way CI, Task etc. is done. The actual adding of the items to the drop down list is done in the layout of the originating (parent) business object.
This is covered in the Admin online help to a certain extent or the Admin II training course in more detail.