This can be done, but you have to understand how Action tools integrate with the tools they connect to in a workflow.
The Input Data tool is configured with a Server connection name, ||| and the SQL query. When you hover over the File field in the Action tool, you can see the entire string as shown below.
With the Update Value action Type, you can either replace the entire string with the value received from the dropdown box, but this is not what you want...
you only replace a specific part of it.
For instance, if your drop down is set up to pick from a list of server connections, you tell the Action tool to replace only a specific value in the string. In my example I want to replace Stacked IE, so I check the box at the bottom that says Replace a specific string, and define which part I want to replace.
THERE IS A CATCH!!! This will only work if you have previously set up the other server connections in your Alteryx Designer as saved connections.
Now, if you also want t be able to pick the Database Table from a dropdown list, you can add that as a separate drop down and Action tool into the same input data tool, like this
Hope this helps - shout if you have any more questions