这是可能的。使用带有GroupDescription的ListCollectionView作为ItemsSource，只需向您的ComboBox提供GroupStyle。请参见下面的示例：
XAML：

<Window x:Class="StackOverflow.MainWindow"
        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        xmlns:local="clr-namespace:StackOverflow"
        xmlns:uc="clr-namespace:StackOverflow.UserControls"
        Title="MainWindow" Height="350" Width="525">
    <StackPanel>
        <ComboBox x:Name="comboBox">
            <ComboBox.GroupStyle>
                <GroupStyle>
                    <GroupStyle.HeaderTemplate>
                        <DataTemplate>
                            <TextBlock Text="{Binding Name}"/>
                        </DataTemplate>
                    </GroupStyle.HeaderTemplate>
                </GroupStyle>
            </ComboBox.GroupStyle>
            <ComboBox.ItemTemplate>
                <DataTemplate>
                    <TextBlock Text="{Binding Name}"/>
                </DataTemplate>
            </ComboBox.ItemTemplate>
        </ComboBox>
    </StackPanel>
</Window>

代码隐藏：

namespace StackOverflow
{
    /// <summary>
    /// Interaction logic for MainWindow.xaml
    /// </summary>
    public partial class MainWindow : Window
    {

        public MainWindow()
        {
            InitializeComponent();
            //this.comboBox.DataContext = this;

            List<Item> items = new List<Item>();
            items.Add(new Item() { Name = "Item1", Category = "A" });
            items.Add(new Item() { Name = "Item2", Category = "A" });
            items.Add(new Item() { Name = "Item3", Category = "A" });
            items.Add(new Item() { Name = "Item4", Category = "B" });
            items.Add(new Item() { Name = "Item5", Category = "B" });

            ListCollectionView lcv = new ListCollectionView(items);
            lcv.GroupDescriptions.Add(new PropertyGroupDescription("Category"));

            this.comboBox.ItemsSource = lcv;
        }

    }

    public class Item
    {
        public string Name { get; set; }
        public string Category { get; set; }
    }

}

这里是对ASanch answer的改进，使其对MVVM友好，其中您绑定到CollectionView。
视图模型：

namespace StackOverflow
{
    public class MainViewModel : INotifyPropertyChanged
    {

        public ObservableCollection<Item> Items { get; set; }
        public CollectionViewSource CollectionView { get; set; }

        public MainViewModel()
        {
            
            List<Item> items = new List<Item>();
            items.Add(new Item() { Name = "Item1", Category = "A" });
            items.Add(new Item() { Name = "Item2", Category = "A" });
            items.Add(new Item() { Name = "Item3", Category = "A" });
            items.Add(new Item() { Name = "Item4", Category = "B" });
            items.Add(new Item() { Name = "Item5", Category = "B" });            
            
            Items = new ObservableCollection<Item>(items);

            var view = new CollectionViewSource();
            view.GroupDescriptions.Add(new PropertyGroupDescription("Category"));
            view.Source = Items;
            CollectionView = view;
        }
        
        public CollectionViewSource CollectionView { get; set; }

        public event PropertyChangedEventHandler PropertyChanged;
        public void NotifyPropertyChanged(String info)
        {
            if (PropertyChanged != null)
            {
                PropertyChanged(this, new PropertyChangedEventArgs(info));
            }
        }

    }
    
    public class Item
    {
        public string Name { get; set; }
        public string Category { get; set; }
    }

}

XAML：

<Window x:Class="StackOverflow.MainWindow"
        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        xmlns:local="clr-namespace:StackOverflow"
        xmlns:uc="clr-namespace:StackOverflow.UserControls"
        Title="MainWindow" Height="350" Width="525">
    
    <Window.DataContext>
        <local:MainViewModel/>
    </Window.DataContext>
    <StackPanel>
        <ComboBox ItemsSource="{Binding CollectionView.View}" DisplayMemberPath="Name">
            <ComboBox.GroupStyle>
                <GroupStyle/>
            </ComboBox.GroupStyle>
        </ComboBox>
    </StackPanel>
</Window>