How can I merge entry values to create a select dropdown
You are using a dropdown field, so you can't query for the counties in use directly from the database. (This would be possible if you had chosen to use categories or tags for them.)

But what you can do is to loop all your jobs entries to collect their respective counties.

{% set entries = craft.entries.section('jobs').limit(null) %}

{% set counties = [] %}
{% for entry in entries %}
    {% set counties = counties|merge({
        (entry.county.value): entry.county.value
    }) %}
{% endfor %}

{% set counties = counties|sort %}


Saving the county name also to the key of each array element makes sure you won't end up getting duplicates. When done use the sort filter to sort the list alphabetically.

Update: there seems to be a problem with getting the dropdown value with entry.county (the shortcut to get the value / calls the field models __toString method) when setting an array key, changing it to entry.county.value works.