Enumerations are fixed sets of elements. The behavior you are looking for can be achieved, but not with enumerations. Domain objects should be used for this.
As Paul Ketelaars answered, you need to have an entity ‘Option’ with attribute ‘Name’ and create an instance of such for every option you would like to have in your drop down.
I am interested in the use case where it would be necessary to change the dropdown value. Maybe you are looking for something else here? Maybe a more dynamic display? Check out https://appstore.home.mendix.com/link/app/112261/ in that case, maybe it helps.