I don't think the standard HTML select will display HTML content. I'd suggest checking out Bootstrap select: http://silviomoreto.github.io/bootstrap-select/
It has several options for displaying icons or other HTML markup in the select.
<select id="mySelect" data-show-icon="true">
<option data-content="<i class='glyphicon glyphicon-cutlery'></i>">-</option>
<option data-subtext="<i class='glyphicon glyphicon-eye-open'></i>"></option>
<option data-subtext="<i class='glyphicon glyphicon-heart-empty'></i>"></option>
<option data-subtext="<i class='glyphicon glyphicon-leaf'></i>"></option>
<option data-subtext="<i class='glyphicon glyphicon-music'></i>"></option>
<option data-subtext="<i class='glyphicon glyphicon-send'></i>"></option>
<option data-subtext="<i class='glyphicon glyphicon-star'></i>"></option>
</select>
Here is a demo: https://www.codeply.com/go/l6ClKGBmLS