You might like to take a look at DatabaseBasics.zip in my public databases folder at:
https://onedrive.live.com/?cid=44CC60D7FEA42912&id=44CC60D7FEA42912!169
In this little demo file the second form in the section on 'entering data via a form/subforms' is a contacts form in continuous forms view. In this form the country, region, and city combo boxes are correlated so that a selection in one restricts the values listed in the next. The behaviour which you describe is avoided by the use of 'hybrid' controls in which a read-only text box is superimposed on a combo box to give the appearance of a single combo box control.
The form is bound to a query in which the referenced cities, regions, and countries tables are included, in addition to the contacts table. Each of the superimposed text boxes is bound to the relevant text column from one of the referenced tables.