<Window x:Class="WpfComboBoxBindingTest.Window1"

    xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"

    xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"

    xmlns:local="clr-namespace:WpfComboBoxBindingTest"

    xmlns:s="clr-namespace:System;assembly=mscorlib"

         xmlns:dg="http://schemas.microsoft.com/wpf/2008/toolkit"

         Loaded="OnLoaded"

    Title="Window1" Height="300" Width="300">

    <StackPanel>

        <Grid>

            <ComboBox  Name="comboBox"

                       IsEditable="False"

                     VerticalContentAlignment="Top"

                       SelectionChanged="OnSelected"

                     ItemsSource="{Binding Path=Tables}">

                <ComboBox.ItemsPanel>

                    <ItemsPanelTemplate>

                        <VirtualizingStackPanel 

                            Orientation="Vertical" 

                             VerticalAlignment="Top" />

                    </ItemsPanelTemplate>

                </ComboBox.ItemsPanel>

                <ComboBox.ItemTemplate>

                    <DataTemplate>

                        <dg:DataGrid VerticalAlignment="Top"

                                     AutoGenerateColumns="True"

                                     ItemsSource="{Binding}" />

                    </DataTemplate>

                </ComboBox.ItemTemplate>

            </ComboBox>

        </Grid>

    </StackPanel>

</Window>

using System.Windows;
using System.Windows.Controls;
using System.Data;

namespace WpfComboBoxBindingTest
{
    public partial class Window1 : Window
    {
        public Window1()
        {            
          InitializeComponent();
        }

        private void OnLoaded(object sender, RoutedEventArgs e)
        {
            DataSet ds = new DataSet();
            DataTable dt1 = new DataTable();
            dt1.Columns.Add("Column1");
            dt1.Columns.Add("Column2");
            DataRow dr1 = dt1.NewRow();
            dr1[0] = "Bob";
            dr1[1] = "Smith";
            dt1.Rows.Add(dr1);
            DataTable dt2 = new DataTable();
            dt2.Columns.Add("Column1");
            dt2.Columns.Add("Column2");
            DataRow dr21 = dt2.NewRow();
            dr21[0] = "Jack";
            dr21[1] = "Smith";
            DataRow dr22 = dt2.NewRow();
            dr22[0] = "Jack";
            dr22[1] = "Smith";
            dt2.Rows.Add(dr21);
            dt2.Rows.Add(dr22);
            ds.Tables.Add(dt1);
            ds.Tables.Add(dt2);
            comboBox.DataContext = ds;
        }

        private void OnSelected(object sender, SelectionChangedEventArgs e)
        {
            ComboBoxItem item = comboBox.ItemContainerGenerator.ContainerFromIndex(comboBox.SelectedIndex) as ComboBoxItem;

            if (item!=null)
            {
                //get the DataGrid and then get the selected row item
            }
        }
    }
}