The assumption that it is related to another thread is not always true. It can be the thread itself causing the issue.
This exception may happen because an event is triggered when a combo item is removed and in this event handling method you still refer to combobox items.
For example when you delete somewhere (other than in actionPeformed()) in your code the last item from a combo box with combo.removeItemAt(0) or removeAllItems() then still the event actionPerformed will be fired/executed. But very often the actionPerformed() method contains code to react on user actions (user clicked somewhere on the combobox). So, when the last item has been deleted there is no more item in the combobox and any reference to an item or index in actionPerformed() will cause an exception.
The solution to this is to move the code from actionPerformed() to e.g. mouseClicked() or another event handler depending on what you want to do.