...
- Instead of expanding the combobox, just type your JQL query in there (number 1 below presents an exemplary JQL query: Reporter = admin)
Click Get issues button (number 2)
Presence of "Favourite Filters" from Jira in Excel Connector
Anytime you save your JQL query as a new filter in Jira (1) , you can find it Excel's Connector dropdown (2):
Getting issues from multiple filters / JQL queries
...