You haven't given us much to work with here, what is the "other table" about? Let's assume it's a Custom Priority for now.
To be able to set a foreign key on multiple types, you need to use Table Inheritance. There will be one master table, and both types "inherit" from it, using the same primary key field.
There are a few kinds of table inheritance. Single Table Inheritance uses nulls, but is far simpler. Class Table Inheritance is normalized, but is more of a pain.
PRIORITY
id
type {generic, custom}
PRIORITY_GENERIC
id pk fk PRIORITY
name
PRIORITY_CUSTOM
id pk fk PRIORITY
name
created_at timestamp
USER
id pk
name
priority_id fk PRIORITY
insert into priority values
(1, 'Generic'),
(2, 'Generic'),
(3, 'Generic'),
(4, 'Custom');
insert into priority_generic values
(1, 'Low'),
(2, 'Medium'),
(3, 'High');
insert into priority_custom values
(4, 'Crazy Super High', current_timestamp);
insert into user values (1, 'neil', 3);
insert into user values (2, 'chris', 4);