First you need to create a Color view model
public class ColorViewModel : INotifyPropertyChanged
{
    public string _name;
    public Color _color;
    public ColorViewModel(string name, Color color)
    {
        this._name = name;
        this._color = color;
    }
    public string Name
    {
        get => this._name;
        set
        {
            if (value == this._name) return;
            this._name = value;
            this.OnPropertyChanged();
        }
    }
    public Color Color
    {
        get => this._color;
        set
        {
            if (value == this._color) return;
            this._color = value;
            this.OnPropertyChanged();
        }
    }
    public event PropertyChangedEventHandler PropertyChanged;
    protected virtual void OnPropertyChanged([CallerMemberName] string propertyName = null)
    {
        PropertyChanged?.Invoke(this, new PropertyChangedEventArgs(propertyName));
    }
}
Then, your view's viewmodel could contain a list of all your colors. You can either fetch them from a list you have made, or get the ones that are built in .net.
public class ViewModel
{
    public ViewModel()
    {
        var allColors = typeof(Colors).GetProperties();
        foreach(var colorInfo in allColors)
        {
            this.Colors.Add(new ColorViewModel(colorInfo.Name, (Color)colorInfo.GetValue(null)));
        }
    }
    public ObservableCollection<ColorViewModel> Colors { get; } = new ObservableCollection<ColorViewModel>();
}
Finally, your xaml could look like this
    <ComboBox ItemsSource="{Binding Colors}">
        <ComboBox.ItemTemplate>
            <DataTemplate>
                <StackPanel Orientation="Horizontal">
                    <Rectangle Height="20" Width="20" >
                        <Rectangle.Fill>
                            <SolidColorBrush Color="{Binding Color}" />
                        </Rectangle.Fill>
                    </Rectangle>
                    <TextBlock Margin="10,0,0,0" Text="{Binding Name}" />
                </StackPanel>
            </DataTemplate>
        </ComboBox.ItemTemplate>
    </ComboBox>
It should look like this in your application 
