'To work as expected, set DataGridView AutoGenerateColumns to False
'end set all columns using your code, after DataGridView datasource property

Dim cmb As New DataGridViewComboBoxColumn()
cmb.HeaderText = "Options"
cmb.Name = "Col"
cmb.MaxDropDownItems = 2 'if needed
cmb.Items.Add("option 1")
cmb.Items.Add("option 2")

DataGridView1.Columns.Add(cmb)