Are you trying to put your VLOOKUP() formula into the cell(s) with the data validation? That is not going to work, you will need to add another column to put the VLOOKUP() formula into that references the data validation cell
Since I can see column AW in your graphic, you could put a formula like this into AW6 to lookup a result based on the entry in L6
=IFERROR(VLOOKUP(L6,'Some Other Sheet'!$A$1:$C$10000,3,False),"")
Obviously the
,'Some Other Sheet'!$A$1:$C$10000,3,
portion just comes from my imagination, but
'Some Other Sheet'!$A$1:$C$10000
would be the reference to just one sheet's lookup table, and ,3, would be an assumption that the data you wanted to return is in the 3rd column of that table (column C).
Now, if you need to get the results from several sheets, only one of which may give you a good result, then you could set up the formula like this:
=IFERROR(VLOOKUP(L6,'Some Other Sheet'!$A$1:$C$10000,3,False),"") & IFERROR(VLOOKUP(L6,'Another Sheet'!$A$1:$C$10000,3,False),"") & IFERROR(VLOOKUP(L6,"A 3rd Sheet'!$A$1:$C$10000,3,False),"")
If I have not understood your problem correctly, then it would be helpful if you would tell us what sheet the formula is to go into and what cell on that sheet might hold the formula, and then copy the formula itself into a posting here.