There is no style, offering combobox in grid column. You can use one of the following workarounds:
1. Put combobox as child control of datagrid and position it over the column. This method os described in Eric Moreau's article in UT Magazine (http://www.utmag.com, January 2003, page 19)
2. Build your own combobox column style. This approach is described in MSDN Magazine article(http://msdn.microsoft.com/msdnmag/issues/03/08/DataGrids/default.aspx).