I would like to bind third column to a CollectionBindingTwo property that is within Window's DataContext and not inside DataContext of an Items from CollectionBindingOne.
By defining the second collection inside <DataGrid> WPF assumes local scope or something, and points to a property within Items of ItemsSource (CollectionBindingOne).
<DataGrid DockPanel.Dock="Top" ItemsSource="{Binding CollectionBindingOne}" AutoGenerateColumns="False">
    <DataGridTextColumn Header="One" Binding="{Binding PropOne}"/>
    <DataGridTextColumn  Header="Two" Binding="{Binding PropTwo}"/>
    <DataGridComboBoxColumn Header="Three" ItemsSource="{Binding CollectionBindingTwo}"/>
</DataGrid>
For example, this works because ComboBox is not inside a <DataGrid>:
<ComboBox IsEditable="True" ItemsSource="{Binding CollectionBindingTwo}"></ComboBox>
 
     
     
     
    