You should be able to use this:
$("#the_select").append($('<option>', {value:"NEWVAL", text: "New Option Text"}));
It will append the new option item to the end of the list.
HTH
Edit
Take 2 :) - I tried this in chrome dev tools over on the select2 page. It works (I added "WA" and Washington
appeared.
var selectedItems = $("#the_select").select2("val");
selectedItems.push("NEWITEMVAL"); // I used "WA" here to test.
$("#the_select").select2("val", selectedItems);
Or as a one liner:
$("#the_select").select2("val", $("#the_select").select2("val").concat("NEWITEMVAL"));