Found a possible option.

We can force it to have at least 2 values so that it doesn't auto-select an option.  Then after the lookup processes we can delete those extra 2 values.

Try this.  Give your dropdown a CSS Class Name of myDropdown.  Give it these two choices: DELETE-ME1, and DELETE-ME2.  And mark the checkbox to Append choices to lookup results.  Set-up your lookup that will populate a single value into the drop-down field.  Then add this Javascript to the form: 

$(document).on('onloadlookupfinished', function(event) {
  
  $('.myDropdown option:contains("DELETE-ME1")').remove();
  $('.myDropdown option:contains("DELETE-ME2")').remove();
  
});

This waits until the looksups are completed that happen upon form load, then it deletes the two placeholder values.  I tested this with a lookup that only returns a single value, and confirmed that it was not auto-selecting the single value in the drop-down field.

Hope this helps!