Can my advisor ask me to drop a project?
There are three different hats your advisor might be wearing, and the question how strong you should drop that project can be depends on which one it is.

As your advisor: Your PhD advisor's responsibility is to, well, advise you on your PhD. So it is definitely appropriate for them to suggest that you focus on one project and drop another. However, the person ultimately responsible for your PhD research is you. If you disagree with the advice, you are free to pursue the research you want to focus on. [Obviously, you should not readily dismiss the advice of your advisor, and if you or your advisor feel they cannot advise you, the advising relationship might have to end.]

As your manager: In many settings, PhD students are also some sort of employee, and as such have a manager supervising their work. This person will typically be the same as the advisor. However, acting as manager, it is probably within their authority to direct what you work on. As such work contracts are almost universally for fewer hours than a PhD student is actually expected to work, you can use that extra time to pursue your side projects. Be wary of the risk for conflict though if you and your manager have different impressions on how much time you spent on what.

As your lab head: Some research requires resources besides the time of the researcher. If you are given access to such exclusive resources in order to work on some particular research, then using them for a side project would be unethical. In many cases, the resources might be paid for by a grant to do particular research, so it might not even be allowed for your advisor to give you permission to use them for your side project. If this applies to you, you might want to look for small grant schemes you can apply for to get the required resources for the side project.