I don't know of any official documentation about virtual combo boxes. You would have to write your own control or check the web for existing ones.
A combo box list with about 10k entries is not user friendly. How long does it take to find the wanted element when it is near the end while having to look for it (compare the shown items with the wanted one)?
I suggest to think about a more user friendly solution.
However, you can speed up the creation time dramatically by using the
CComboBox::InitStorage[
^] function. While that uses more memory (you have to specify the max. string length of all items), it avoids dynamic allocation for each element upon adding.