Following @Codesleuth's suggestion, I replaced the auto generated DataGridViewTextBoxColumn
with a DataGridComboBoxColumn
like this:
Dim comboBoxColumn As DataGridViewComboBoxColumn = New DataGridViewComboBoxColumn()
comboBoxColumn.DataPropertyName = "ComboBoxColumn"
comboBoxColumn.DataSource = comboBoxBindingSource
comboBoxColumn.DisplayMember = "ComboBoxColumn"
comboBoxColumn.ValueMember = "ComboBoxColumn"
DataGridView.Columns.RemoveAt(COLUMN_INDEX)
DataGridView.Columns.Insert(COLUMN_INDEX, comboBoxColumn)