To my knowledge, there is no such drop-down menu navigation capability, off-the-shelf, in Tableau Desktop. Maybe there are APIs out there that can help you do this, which I've not seen.
One way to navigate to other dashboards will be to use action filters. You could add buttons/arrows and link them up using the action filters. However, it won't look like the submenu you are after.
These links might be good starting point;
This drop down option is not possible in Tableau I think but yes, You can create Navigation key to move one dashboard to another dashboard or another sheet.
You can use "Dashboard Action for this" else
Tableau Has just launched this feature in Beta version Tableau 2018.3 like below image
Please mark correct and helpful it works for you.