You can create a custom class of UIPickerView and override hitTest(point:with:). Creating a protocol, you can send the current picker through a delegate method to your controller and draw whatever you like:
protocol CustomPickerViewDelegate: class {
    func didTapped(_ picker: CustomPickerView)
}
class CustomPickerView: UIPickerView {
    weak var myDelegate: CustomPickerViewDelegate?
    override func hitTest(_ point: CGPoint, with event: UIEvent?) -> UIView? {
        // Only test for points in your needed view
        if !self.point(inside: point, with: event) {
            return nil
        }
        // Return using CustomPickerViewDelegate the current picker
        // that can be used to determine which one was selected
        myDelegate?.didTapped(self)
        // Call super.hitTest(_: with:)
        return super.hitTest(point, with: event)
    }
}
Do NOT forget (in your controller: eg. YourViewController): 
self.pickerView.myDelegate = self.
Create an extension of your controller the subscribes to CustomPickerViewDelegate protocol:
extension YourViewController: CustomPickerViewDelegate {
    func didTapped(_ picker: CustomPickerView) {
        // do what you want here
        self.addBorderTo(picker: picker)
    }
}
If you like you can extend the UIPickerViewDelegate (see below how you can extend base class delegate)
Extending a delegate from a base class
Good luck :]