It's pretty simple:
Calculate the value of the style in a Java code block without any output:
<% String style = ""; if( ... ) { style = "style='color:blue' "; } %>
Use the variable:
<option <%=style%>value="...
Note that you're responsible for properly escaping the content of the variable. In the Java code generated by the JSP compiler, you will get:
out.write("<option ");
out.write(style);
i.e. the string will be passed to the client as is.