Got it:

            List<String> itemList = new List<String>();
            itemList.Add("NW");
            itemList.Add("N");
            itemList.Add("NE");
            itemList.Add("E");
            itemList.Add("SE");
            itemList.Add("S");
            itemList.Add("SW");
            itemList.Add("W");

            Binding binding = new Binding();
            binding.Source = itemList;

            FrameworkElementFactory factory = new FrameworkElementFactory(typeof(ComboBox));
            factory.SetValue(ComboBox.ItemsSourceProperty, binding);

            Xceed.Wpf.DataGrid.Markup.CellEditorBindingExtension cellEditorBindingExtension = new Xceed.Wpf.DataGrid.Markup.CellEditorBindingExtension();
            factory.SetValue(ComboBox.SelectedValueProperty, cellEditorBindingExtension.ProvideValue(null) as BindingBase);

            DataTemplate editTemplate = new DataTemplate(typeof(ComboBox));
           
            editTemplate.VisualTree = factory;

            CellEditor cellEditor = new CellEditor();
            cellEditor.EditTemplate = editTemplate;
            dataGridControl.Columns[0].CellEditor = cellEditor;

This post was very helpful, as well as the one Jenny referenced above. The post I just linked pointed out that I'd need a new CellEditor or all of my editors will inherit the new combo box, as well as showed how ot use the CellEditorBindingExtension.