Typically you would need data that has all of the elements.
I will use an example country, state, city.
Three dropdowns which cascade to drill down from country to states within that country and then cities within that state.
You data could look like.
USA WA Seattle
USA WA Spokane
CAN BC Vancouver
USA OR Portland
CAN BC Victoria
This would be a secondary data connection and you would end up with a repeating group of these three fields.
So DD1 would be bound to country
DD2 would be bound to State and use a filter on countryselected in DD1
DD3 would be bound to City and use State as a filter from DD2
You also could have a list of Countries and States and then another list with States and Cities but you need the data to relate them together.
Is that what you were looking for?