HTML Select Option, text formatting
There is currently no support for nested HTML tags within options. The closest formatting element you can use is <optgroup>
which will group options into sections.
What you could do is use a javascript replacement like Select2 or Chosen to style the elements. It isn't native, but it does support HTML.
The answer is no.
As you can see on MDN:
Permitted content: Text with eventually escaped characters (like é).
There are alternatives combining other tags, but not select and option.
For further reading:
Select boxes with HTML inside each option.
jQuery .customSelect()
A custom select for @twitter bootstrap using button dropdown.
As the specification "4.10.12 The option element" states is the content model of an <option>
-element text only.