Ok, i found the right solution.
I have set the Binding to Binding RelativeSource={RelativeSource TemplatedParent}
<Style x:Key="MyComboBoxStyle" TargetType="{x:Type ComboBox}">
<Setter Property="Template">
<Setter.Value>
<ControlTemplate TargetType="{x:Type ComboBox}">
<Grid>
<!-- ... -->
<Button Command="{TemplateBinding Tag}" CommandParameter="{Binding RelativeSource={RelativeSource TemplatedParent}}" />
<!-- ... -->
</Grid>
</ControlTemplate>
</Setter.Value>
</Setter>
</Style>