With wp_list_category put every existing category into an option tag

wp_list_categories() isn’t the right function for this kind of output, as that is meant for displaying <ul> lists.

Instead you should be looking at get_categories(), that instead only gets all the info about the categories and doesn’t apply any formatting to it.

For your desired output you can use something like this:

<?php
$args = array(
    'hide_empty' => 0,
    'orderby' => 'name',
    'order' => 'ASC',
);
$cats = get_categories($args);

if ( $cats ) {
    echo '<select class="filters-select">'; //echo the select

    //loop through each category and echo as option for the select
    foreach ($cats as $cat) { 
        echo '<option value="'. $cat->slug .'">'. $cat->cat_name .'</option>';
    }

    echo '</select>'; //close the select
}
?>