There might be a way to do what you're asking.

Here's what I did for my example:
STEP 1:I entered the following information on Sheet1:
A1:Name
A2:One
A3:Two
A4:
A5:Three
A6:
A7:Four
A8:
A9:
A10:Five
(Note: Cells A4, A6, A8, A9 are blank)

STEP 2:
E1: =COUNTA($A$2:$A$10)
E2:=(E1-1)
Copy that formula to E3:E10

STEP 3:
F1:=INDIRECT("A"&LARGE((($A$2:$A$10)<"")*ROW($A$2 :$A$10),E1))
---Commit that array formula by pressing [Ctrl]+[Shift]+[Enter]
Copy that formula to F2:F10

STEP 4:
Create a dynamic named range
InsertNameCreate
Name: myListWithNoBlanks
Refers to: =OFFSET(Sheet1!$F$1:$F$10,,,COUNTA(Sheet1!$A$2:$A$ 10))
Click [OK]

STEP 5:
Select a cell to use validation, then
DataValidation
Allow: List
Source: =myListWithNoBlanks
Click [OK]

When you click on that cell, you should only see the non-blank items from
your list.

Does that example do what you want?
--
Regards,
Ron