How to - add a image to a dropdown ( Featured image )

Hi, We have a form to create with a dropdown.

This dropdown is populated from a post type using a hook.  Each select option is the post type 'classes' post title.

We want to be able to add the featured image as an attribute to each option.

Current option from the select :

<option value="77" class="">Autobus</option>

And we want to achive :

<option value="77" class="" attr-url="[Feature-imge-url.ext]">Autobus</option>

What is the best way to add or edit dropdown option ?

Thank you for your time!