You can enable menu-complete in Bash to step through
the entries on the command line each time you press Tab. This is
not really what you're looking for. If you want to try it, do
this at the command prompt:
bind '"\C-i": menu-complete'
To make it persist, add this to your ~/.inputrc
file:
"\C-i": menu-complete
Zsh has a feature that allows you to use the arrow keys to select
an entry. Add this (or another variation) to your
~/.zshrc file:
zstyle ':completion:*' menu select=0
See man zshcompsys and search for "select=" (it will
be in the section for the menu "Standard Style") for
more information.
Otherwise, in Bash, you could write a function (or even create
your own completion function) that would do something based on
the select command. This is extremely simplistic:
$ select a in x y z; do cd $a; done
1) x
2) y
3) z
#?
You'd have to flesh that out a lot to get it to do what you want.