JSFiddle - React, Tailwind, and code Playground

HTML

<select>
		<option class="green">Hi, &#xf042;</option>
        <option>Hi, &#xf043;</option>
        <option>Hi, &#xf044;</option>
        <option>Hi, &#xf045;</option>
        <option class="red">Hi, <span>&#xf046;</span></option>
	</select>

CSS

@import url("https://maxcdn.bootstrapcdn.com/font-awesome/4.6.1/css/font-awesome.min.css");
select { font-family: 'FontAwesome', Arial }

.green { color: green; }

.red {
  color: red;
}