Wasn't sure that it was possible but today I got it to work. I created an aspx page and in the Page_Load event, performed a query of the database, looped through the results, and wrote out a simple HTML dropdown list using Response.Write(). Am already logged in so I guess the session is passed with XMLHTTPRequest.
I noticed that when I try to use a server control instead of just writing out some HTML in the form of strings, it doesn't work. I get the following exception:
"Control ... of type 'DropDownList' must be placed inside a form tag with runat=server."
...so as a workaround, I'll just keep using*:
For Each result As Object In DBResults
Response.Write(" " & result.key & " ")
* Requires tweaking to transform into useful VB .NET code. If you know how to convert code into intelliglble text for WordPress, let me know...