Yes there is a Filter List working with Foreigh keys.

In the Filter Tab, drag&drop 'List' object in your collection, that's all

You need to instance the "List" filter from the toolbox on the left.
Then drop your FK field inside.

Ah, I read the original post wrong. I thought this was talking about being able to select multiple items in a FK on an entry form , not the filter. I was looking to be able to multi select like you can when assigning users to a group in Joomla. e.g. you can select both Registered and Publisher or what ever etc . Happy to start a new discussion / question on this Chef

Make use of the Relations.
www.j-cook.pro/index.php/r/relations

Many to One
or
Many to Many

it depends what you want to do.
XREF nodes are opposite of FK node.
Then, the relation depends of the field you pick up from the tree.
When you drop in a form, you gonna get your multiselect input. With chosen...

The docs are coming. It is a long way...

Be aware if you want a N:m relation, you need to create a Pivot table,
and then instance the relation dragging the field node to the brick of your choice (form, fly, grid, filters,...)

If you do not have pivot, only N:1 relation is possible. (Reverse of 1:n).
You gonna see the difference in the fields tree. A pivot table adds a sub node level. Logic.