We couldn't have done it in Classic either. There is no way we can select more than page/context selectors either in classic or in NUX. There are some workarounds like creating filters based on the multiple selection that end users make but dynamically Anaplan doesn't allow us to select multiple context selectors at a time.
We can not select multiple page selectors from the dashboard.
But we can create filter module which uses page selector list as dimension. Create a Boolean formatted line item to check list items which are needs to filtered. Use this line item in your module as filter condition.