I think your clue of using the built-in UI provides an 'almost' acceptable method.
Code:
Sub Attempt4()
Dim oCC As ContentControl
Application.CommandBars.ExecuteMso ("ContentControlDropDownList")
Set oCC = Selection.Range.Paragraphs(1).Range.ContentControls(1) 'this line is a weak attempt that could be more elegant
With oCC
.DropdownListEntries.Add "A", "Apples"
.DropdownListEntries.Add "B", "Beets"
End With
lbl_Exit:
Exit Sub
End Sub