Rather than just making an iPhone app that can be launched on Mac OS X, you should make an actual Mac app. In this case, the correct control would be an NSPopUpButton.
You can make any custom view you want, but it's a lot of work, and the standard controls are often better.
For example, UIPickerView is designed for touch-screen usage; NSPopUpButton and NSMenu are designed for mouse and keyboard usage. UIPickerView is great because the apps that use it run on touch-screen hardware. If you try to implement a touch-optimized interface for a mouse-and-keyboard system, the resulting interface will be the worst of both worlds.