It is impossible to embed images within JSF's <h:selectOneMenu>/<f:selectItem>/<f:selectItems>, as there are no attributes designed for that purpose. Moreover, there is hardly a cross-browser compatible solution for that.
Though you could use a component library for that, like PrimeFaces. It has <p:selectOneMenu> component that basically wraps <select>/<option> with some HTML/jQuery magic, so that a 'substitute' is displayed onscreen. Example usage can be found in a showcase example. To recite it:
<p:selectOneMenu value="#{autoCompleteBean.selectedPlayer2}" converter="player" var="p">
<f:selectItem itemLabel="Select One" itemValue="" />
<f:selectItems value="#{autoCompleteBean.players}" var="player" itemLabel="#{player.name}" itemValue="#{player}"/>
<p:column>
<p:graphicImage value="/images/barca/#{p.photo}" width="40" height="50"/>
</p:column>
<p:column>
#{p.name} - #{p.number}
</p:column>
</p:selectOneMenu>
Of course, you can load the images in a different manner.