Not possible unfortunately. You can control it with a formula so that when x happens, y happens. But you can't make it so when x happens, you have a choice between y and z.
It would certainly be a nice feature. Parameters need an overhaul.
You can get close to your desired result by adding a third parameter. You have your opening opening parameter and a grills parameter. The opening parameter controls the opening viability like you want, but the grills one doesn't directly control anything. You then have a third parameter that is driven by the formula shown below. This parameter actually drives the grill visibility. When opening is unchecked, this is always unchecked. When opening is checked, it reads the grills parameter.

This doesn't gray out the Grills parameter like you want, which is unfortunate because that's the type of thing that can cause confusion for less proficient Revit users. But it will give the desired results that you want.