Unless I'm forgetting something the only way you could get this
sort of capability is in a ComboBox control in a full-fledged
userform. (A userform is a custom dialog box you build in the
Visual Basic Editor. It can be used to do some of the same
sorts of things as a protected form (what you're using). It's
more involved to learn & build, but also far more powerful and
flexible. The BackColor and ForeColor properties let you set
various color options for these dropdowns.
http://www.mvps.org/word/FAQs/Userforms/CreateAUserForm.htm
http://www.speakeasy.org/~mtangard/userforms.html
Hmm. I guess you could also get it by embedding an ActiveX
ComboBox in a document (if you wanted to be assured of major
frustrations down the road....).