Motivated by Large Language Model (LLM) cascading, we propose an online contextual Pandora's Box model for adaptively querying and selecting LLM APIs. In each period, a decision-maker observes a request context and faces a two-phase decision problem. In the query phase, the decision-maker sequentially queries APIs, where each query reveals a generated output and the decision-maker incurs an (output-dependent) cost. In the selection phase, the decision-maker selects one of the generated outputs to deploy and observes only the downstream reward of the deployed output. This output-mediated feedback structure differs from classical online contextual Pandora's Box models, in which opening a box directly reveals its reward. Rather than estimating the full conditional output and cost distributions of each API, we directly model the reservation index and develop a learning approach for the query phase. Specifically, we impose a parametric structure on the contextual reservation index functions induced by the classical Weitzman's policy. Our policy combines generalized method of moments (GMM) type estimation of these reservation indices with UCB-style confidence bounds for both these indices and the shared output-level reward evaluator. Under regularity conditions, we prove that the resulting policy achieves dimension-dependent $\widetilde O(\sqrt T)$ cumulative regret over a horizon of $T$ periods.