If I understand correctly you want your cells to show a Name and Phone. Since every cell can have a single value you have to wrap the Name and Phone into a single object (e.g. Contact) and the bound datasource property should be of that type.
You don't actually need all three controls to display in a cell. when not in edit mode you need two labels (one for Name and one for Phone). In edit mode you need a combobox and a label (or textbox if you want phone to be editable - but that could be tricky).
Then you want to create a custom DataGridViewCell, custom DataGridViewColumn and a custom editing control.
Although you could add two labels as children of your custom DataGridViewCell, it is much better to simply override Paint and draw the Name and Phone directly on the cell surface.
The custom editing control can be any control that implements the IDataGridViewEditingControl interface. As such it can be a composite control containing a combobox and a label (or textbox). The composite control should edit the Contact object as a single unit.
Also the custom DataGridViewColumn is responsible for providing the datasource for the dropdown part of the editing control.
https://msdn.microsoft.com/en-us/library/7fb61s43(v=vs.110).aspx describes how to create a custom cell and column.
https://msdn.microsoft.com/en-us/library/7tas5c80(v=vs.110).aspx describes how to create a custom editing control and how to instantiate it from the custom cell.