How to set a default value for Drop-downs, but not display that value in the actual list?

Like the title says: I want to have a default value on a dropdown like "Select a Country" and then when clicked on, it will load a list of countries. However I don't want "Select a Country" to be shown in the dropdown.

I've been messing with this for a while but I can't find any functions to have a default value, or to check if the list has been expanded (that way I can just remove the value when that happens).

Has anyone else had this issue?