Вы можете добавить ComboBox программно на ваш родительский ComboBox, например:
private void ComboBoxParent_SelectedIndexChanged(object sender, EventArgs e)
{
int numComboBoxes = 5;
for (int i = 0; i < numComboBoxes; i++)
{
ComboBox comboBoxChild = new System.Windows.Forms.ComboBox();
comboBoxChild.Location = new System.Drawing.Point(0, 21 * i);//Position on the Form
comboBoxChild.Size = new System.Drawing.Size(121, 21);//Size of the ComboBox
this.Controls.Add(comboBoxChild);
}
}