There is a way to do this in code if you choose to create your own custom combox and reference it through your Pega Studio project. There are several examples of how to do so if you search multiline combobox c# on google.
However, there is no way to perform this action using the given .NET Visual Studio drag and click combobox that is referenced with our product.
I would suggest to use a tooltip to further provide info on highlighted or hovered items that are in the combo box to show to user instead. The tool tip can bind to the items of the combo box by index.
You can create a custom combobox component to use. Add it to the toolbox and use on it on your forms. Here is a post I found that can point you how to create this. Creating .Net components is a way to extend the functionality of Pega Robotics. It is important that the class inherit from System.Component.ComponentModel.