Вы можете вставить пустую запись в источник данных.
Public Class Data
Public Property No() As Integer
Public Property Name() As String
End Class
и Список (Данных),
Dim mlist As New List(Of Data)() From
{
New Data() With {.Name = "", .No = 0},
New Data() With {.Name = "One", .No = 1},
New Data() With {.Name = "Two", .No = 2}
}
ComboBox1.DataSource = mlist
ComboBox1.DisplayMember = "Name"
ComboBox1.ValueMember = "No"