@Bhupender_Bhutani I suspect you will be able to use a combination of external itemsets and cascading selects to achieve what you need. If that's enough information to get you on the right track, please let us know. If not, fill out the rest of the support template in your original post so that we can best help you. A sample form or a description of what you are trying to do would be very helpful along with the versions of tools that you are using.
This question turns out to unearth a lot of interesting things. First, it's not currently possible to combine the search appearance with others. There's an issue in Collect to address that here. Now that I think about it, I don't know how practical that actually is depending on the different layouts used but it will be something to look into.
Seeing this written out as the search function, I went back to read the section in the XLSForm spec that I linked to in the issue above and saw that what is described there has nothing to do with the search appearance that exists in Collect today. Some digging turned up this page in which the "Dynamically-Loaded Multiple-Choice Data" section describes the search function/appearance. It looks like the search function was broken in April of 2016 with this change. This was to introduce a way for users to search/filter a list of choices.
@mathieubossaert noticed this in June with this issue but we didn't make the connection then.
I don't know exactly where this conversation should go (Development? Features? Community?) but I think we should officially deprecate the search function and make that clear on any documentation that mentions it. I believe that a combination of external itemsets and the search appearance mostly address what it was supposed to. Also, Collect hasn't supported it for almost 1.5 years and it doesn't seem like there have been many complaints. And finally, I imagine Enketo and other clients don't support it since it's an unusual use of appearance (@martijnr?).