HTML and CSS: Insert span into Option Select

Question

I’m trying to do the following Select:

I tried to do it this way, but I couldn’t:

HTML:

<select class="form-control">
    <option>
        <a title="Alimentação">
            <span class="color" style="display: block; width:20px; height: 20px; background-color: rgb(255, 153, 0);"></span>
            <span class="label">Alimentação</span>
        </a>
    </option>
    ...
</select>

Thus appeared only the text, the color did not.