Grouped references

It would be handy if we could group a reference column by a specific column from the referenced table.
It would look like the drop-down from this image:


Note how the cities are grouped directly by the states in this drop-down.

I know you can already achieve something like this by having two or more other reference column and by adding an valid if expression, however I believe being able to group a reference column is more efficient. It would also be great if you could somehow expand and collapse the groups and the referenced items.

Adding @Adam to investigate further.