In case this helps anybody out there - I ended up doing it like this:
<div style='display:none'>
<p><a class='inline' href="#colorBoxSelect"></a></p>
<select onchange="$('#State').val($(this).val()); goToResults();" id="colorBoxSelect">
<option value="">Please Select a State</option><option value="AL">Alabama</option>
<option value="AK">Alaska</option>...<option value="WY">Wyoming</option>
</select>
</div>
Also you'll need this:
$(".inline").colorbox({ inline: true, width: "20%" });
And last but not least - on the entry to the function where I check if the value is not there:
if (!$('#State').val() || $('#State').val() == "") {
$('.inline').click();
}
What happens is that I simulate a click on the "a" object. The href points to the select box element, which is then showed in the ColorBox. From there a simple assignment to the element I want to contain the value using an onChange gets the job done.