This might be a little challenging, but it might be possible. The only thing is that you will need to create your own combo box. Unfortunately, Silverlight does not support key gestures with combo boxes as done in WPF, WInforms, HTML, etc. I found an article on Code Project with an attempt to this. Here is the link to the article. I have not tried it, and I am not sure if the DataGrid for Silverlight can support it, but its worth a shot if it is important for your application. Currently, the Xceed DataGrid for Silverlight does support custom editors as shown in the demo project.
I hope it helps!
Developer in Technical Support
Xceed - Multi-talented components - http://xceed.com