custom picker in Read only grid interface for huge data

A custom picker always only loads the data it needs. So, each one should not be an issue.

How many rows do you plan to show?

Use aggregation queries in your suggest functions to fetch only distinct values (limited to 10 results) and require minimum 2 characters before searching.
Use pagination (50 rows per page) and reset to page 1 when filters change.
The key is that all filtering happens at the database level through the API-backed record, so Appian only processes small filtered result sets, not the full dataset.
Example suggestion function code for your reference.

/* Suggest Function Rule */
a!localVariables(
  /* Query for distinct values using aggregation */
  local!results: a!queryRecordType(
    recordType: recordType!YourRecord,
    fields: {
      a!aggregationFields(
        groupings: a!grouping(
          field: recordType!YourRecord.fields.year,
          alias: "value"
        )
      )
    },
    filters: if(
      len(ri!searchText) > 2,
      a!queryFilter(
        field: recordType!YourRecord.fields.year,
        operator: "starts with",
        value: ri!searchText
      ),
      {}
    ),
    pagingInfo: a!pagingInfo(startIndex: 1, batchSize: 10)
  ),

  /* MUST return a!dataSubset with data and identifiers */
  a!dataSubset(
    data: index(local!results.data, "value", {}),
    identifiers: index(local!results.data, "value", {})
  )
)