Is there a reason that you use the ComboBox instead of the Select, because with the select you can do that.
Select select = new Select();
select.setItems("Option 1", "Option 2", "select 1", "select 2", "group 1");
select.addComponentAtIndex(2, new Hr());
select.addComponentAtIndex(5, new Hr());
Or you can use a MenuBar but it looks very diferent that the ComboBox.
menuBar = new MenuBar();
MenuItem menuItem = menuBar.addItem("Select");
menuItem.getSubMenu().addItem("Option 1");
menuItem.getSubMenu().addItem("Option 2");
menuItem.getSubMenu().addItem(new Hr());
menuItem.getSubMenu().addItem("select 1");
menuItem.getSubMenu().addItem("select 1");
menuItem.getSubMenu().addItem(new Hr());
menuItem.getSubMenu().addItem("group 1");