You can add almost any control in the RadComboBox's ItemTemplate. In this case you would need to databind the combo box in order to create the items. You can learn more about its possibilities in the docuimentation by starting here, for example.
I am also attaching a simple example that shows this in action, even with added AJAX functionality. I am updating a label for the sake of simplicity, yet you should be able to replace it with a grid easily according to you desired custom logic.
All the best,
the Telerik team
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