Bind to the datacontext of the grid :
<DataGrid ItemsSource="{Binding ModelValues, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}" >
<DataGridTemplateColumn Header="myHeader" Width="200">
<DataGridTemplateColumn.CellTemplate>
<DataTemplate>
<ComboBox DisplayMemberPath="Value" SelectedValuePath="Key" IsEnabled="False"
SelectedValue="{Binding myID, Mode=TwoWay}"
ItemsSource="{Binding Path=DataContext.myList,
RelativeSource={RelativeSource FindAncestor, AncestorType={x:Type DataGrid}}}" />
</DataTemplate>
</DataGridTemplateColumn.CellTemplate>
<DataGridTemplateColumn.CellEditingTemplate>
<DataTemplate>
<ComboBox DisplayMemberPath="Value" SelectedValuePath="Key" IsEnabled="False"
SelectedValue="{Binding myID, Mode=TwoWay}"
ItemsSource="{Binding Path=DataContext.myList,
RelativeSource={RelativeSource FindAncestor, AncestorType={x:Type DataGrid}}}" />
</DataTemplate>
</DataGridTemplateColumn.CellEditingTemplate>
</DataGridTemplateColumn>
</DataGrid>