In this situation, I end up asking the client what they want in the dropdown. It's probable that these options won't change too frequently. The select options are then coded into the slice.
You are correct that the lack of groups in slices is a limitation many of us have run into. The Prismic die-hards are hoping it will eventually come to be.
It might be possible to make a custom type for select fields like this and then use a content relationship field in your slice. But this feels like an awful "hack"/workaround.