In Contact Form 7, set the first option as the label for a SELECT field.

gistfile1.txt

[select* scteto first_as_label "select one" "item1" "item2" "item3" "item4" "item5"]

+ Design custom arrow
select {
    -moz-appearance: none;
    -webkit-appearance: none;
    appearance: none;
    background-image: url(../images/select-drop.svg);
    background-repeat: no-repeat;
    background-position: right center;
    background-size: 17px;
}