Hi Amit,
If you want to use SQL query for dropdown, I think it's better to create a view for this query, so the code in your dropdown will be like :
SELECT ID, Title FROM MyView
Inside the view you just select data from all necessary databases:
SELECT ID, TITLE FROM Server1.Database1.dbo.Table1
UNION
SELECT ID, Title FROM Server2.Database2.dbo.Table2
And you need to add Server1 and Server2 as linked servers for the server where you installed kentico