Hi,
There is example code in mojoPortal similar to what you describe. If you look in the source code under Web/Controls/CountryStateSetting.ascx you will see it has 2 dropdowns that depend on each other, the country dropdown triggers the state dropdown. The values are combined as a pipe separated string for both set and get of ISettingControl, like Country|State, so consuming code has to split it on the pipe to get the 2 individual values and combine it before setting the value on the ISettingControl.
Hope it helps,
Joe