Well, there's no such thing as a 'combo box" in HTML (see ⇒
HtmlHasNoComboBox) but if you are talking about a select dropdown, then no, you can't embed a checkbox within an option. You'll have to explore 3rd party alternatives.
With a quick Google search, I found
this jQuery plugin. No longer maintained, but might be suitable. If not, I'm sure you can find others.