Your best bet would be to use a DataGridTemplate column and create your own DataTemplate like this:-
<DataGridTemplateColumn Header="Combo Style">
<DataGridTemplateColumn.CellTemplate>
<DataTemplate>
<StackPanel Orientation="Horizontal">
<ComboBox />
<Button />
</StackPanel>
</DataTemplate>
</DataGridTemplateColumn.CellTemplate>
</DataGridTemplateColumn>