ACF calls the function wp_list_categories() to show a select field for taxonomy fields.
To alter the display of the select field you must build a custom walker.
You can alter the walker used by the field using the filter on acf/fields/taxonomy/wp_list_categories
$args['walker'] = new YourCustomWalkerClass();
Beyond this I can’t really help you much.
Here is one tutorial https://phppot.com/wordpress/wordpress-custom-walker/
many more can be found by searching the web for “wp_list_categories custom walker”
