Lookup field - multiple entries

So this is a bit messy but I got it to work for me. This approach modifies the CAML query under the hood of the Query List action.

I have a list Athletes with a lookup column to Sports:

I've built a collection variable (collChoices) that contains Football and Basketball. If I print the collection variable it looks like Football;Basketball (similar to what you have).

I perform a Join in a Collection Action like this:

The Delimiter is </Value><Value Type="Lookup"> and it gets saved to a multi-line variable, strQueryFragment.

I then use a Build String action to build the remainder of the filter and save it to another multi-line variable strQuery:

Not sure how clear these images are. That text is:

<In>
  <FieldRef Name="Sport" />
  <Values>
    <Value Type="Lookup">{WorkflowVariable:strQueryFragment}</Value>
  </Values>
</In>

strQuery after this looks like:

<In>
  <FieldRef Name="Sport" />
  <Values>
    <Value Type="Lookup">Football</Value><Value Type="Lookup">Basketball</Value>
  </Values>
</In>

I then build a Query List action specifying the fields I want and adding some simple filter criteria (doesn't matter what—it's going to be replaced):

Then switch to the CAML Editor view. I want to modify this Where tag to use my filter:

I've replaced the Eq tag with my variable, strQuery:

And that's it. The thing is working for me—returning all the records that have either Football or Basketball in my list. 

Hope this helps.