1. Create two Value/Page Lists as per your business requirement.
2. In the first drop-down, source it first ValueList/PageList property to load the content. ValueList1/PageList1 and ValueList2/PageList2.
3. Configure an action set with "OnChange" event and "Refresh-This Section" event on the first drop-down (Assuming this section having both the drop-downs). In the refresh event, configure a data transform to populate the data from ValueList1 by copying or appending in the second "ValueList2/PageList2" with filtering and skipping the copying of the selected input value in the first drop-down.
Hope it gives you the high-level idea to implement the use-case at your end. Kindly notify if it does by marking this post as answered for larger Pega audience and tracking purpose.