Hi,
Yes you would have to use a custom UserControl that implements ISettingControl
Note that the custom profile fields are only simple key value pairs so to do it in one control so the dropdown lists can be related you would have to store both values as a single setting, like a pipe separated string or something like that.
If you are working with the source code you can find an example that is similar under Web/Controls/CountryStateSetting.ascx which is a UserControl that implements ISettingControl and it has 2 dropdowns one for country and one for state, it returns a single value pipe separated like Country|State to capture both country and state. So you could implement something similar and plug it in as a profile property.
Hope that helps,
Joe