You should not have to use anything outside the framework of Mendix to accomplish this. You are able to setup multi level dropdowns by creating new items and putting subitems within them.
1. Create item that does nothing
2. Add new items and drag/drop into that first item.
3. If you need to add any items to the items created in step 2 then do the same thing.
This should accomplish what you are looking for in a very simple way