Unfortunately, you can’t do it. Custom fields and outline codes, in general Project, doesn’t allow you to choose more than one value in the list.
You can use multiple fields and make a selection in each one and then combine the data in another field. As an example, you’ve created a lookup in three Text columns (Text1, Text2, and Text3). A choice can be made in Text 1 only, in Text 1 and Text 2, or in Text 1, Text2, and Text3.