Ну почему, вызов будет:
<html>
<head>
<meta charset="utf-8">
<script src="https://ajax.googleapis.com/ajax/libs/jquery/1/jquery.min.js"></script>
<script type="text/javascript">
$(function() {
$(document).on('change', 'li:nth-child(1) select', function() {
alert(this.value)
});
});
</script>
</head>
<body>
<ul>
<li>
<select>
<option>111</option>
<option>222</option>
<option>333</option>
</select>
</li>
<li>etc</li>
</ul>
</body>
</html>