You actually need to add the ListItem separately, instead of in the constructor. For example:
For Each dr As DataRow In m_dtDelayedDeliveryDays.Rows
Dim tempList as New ListItem
tempList.Text = dr("DeliveryDelayDays")
tempList.Value = dr("DeliveryDelayDaysID")
This is from memory but that should be pretty close. You'll have to specify what the ID is.