You can try it in this way:
<dg:DataGrid MouseRightButtonUp="dgData_MouseRightButtonUp" AutoGenerateColumns="True" Margin="27,36,39,50" x:Name="dgData" RowHeight="25" Background="LightGray" RowBackground="LightGray" FontFamily="calibri">
<dg:DataGrid.ContextMenu>
<ContextMenu>
<MenuItem Header="Add" Click="Ass_Lesson1">
</MenuItem>
</ContextMenu>
</dg:DataGrid.ContextMenu>
<dg:datagrid.columns xmlns:dg="#unknown">
<dg:datagridtemplatecolumn header="First Column">
<dg:datagridtemplatecolumn.celltemplate>
<datatemplate>
<Image Source="{Binding Path=MyImage}" />
</datatemplate>
</dg:datagridtemplatecolumn.celltemplate>
</dg:datagridtemplatecolumn>
</dg:datagrid.columns>
</dg:DataGrid>
Where MyImage is the property which holds you Image(BitmapImage).
Hope it helped.