Apple - Only show active windows in the current space in Mac OSX when pressing CMD-Tab

I'm afraid you cannot do that, since the Dock (where this menu belongs) cannot be distinctly used on each space.

But, what it might be handy is to disable the option:

"When switching to an application, switch to a space with open windows for the application" from System Preferences > Expose & Spaces > Spaces.

That way, even if you select an application which is not present in the current space, you wont be moved to that space.

After all its just a matter to get used of it. After a while, even you'll be ok with it or you'll just deactivate spaces at all (the latter happened to me).