You have to use Find children activity, for this, selector should be from UI explorer, open UI explorer indicate on any of the dropdown value from where you are getting values and when you get the selector your selector should be looking like below with tag as LI
So if you see towards the visual tree now you have a tag call UL,as mentioned in the below screenshot
Copy the selector for UL and paste in the selector property of Find children activity.
Use for each and use get attribute activity and use aaname as attribute and the result of Get attribute will be the dropdown values.
Once you have the dropdown values you can save the excel sheets with those names.
Refer the below workflow for reference.
Testing.xaml (7.0 KB)
Refer the below workflow for reference for renaming excel sheet name