リスナーを付ければ解決だよ!

import java.awt.event.MouseWheelEvent;
import java.awt.event.MouseWheelListener;
import java.util.Vector;

import javax.swing.ComboBoxModel;
import javax.swing.JComboBox;

public class JComboBox2 extends JComboBox {

	public JComboBox2() {
		super();
		setListerner();
	}

	public JComboBox2(ComboBoxModel aModel)  {
		super(aModel);
		setListerner();
	}

	public JComboBox2(Object[] items) {
		super(items);
		setListerner();
	}

	public JComboBox2(Vector<?> items) {
		super(items);
		setListerner();
	}

	private void setListerner() {
		class Listener implements MouseWheelListener {
			public void mouseWheelMoved(MouseWheelEvent mousewheelevent) {
				int n = mousewheelevent.getWheelRotation() > 0 ? 1 : -1;
				int i = getSelectedIndex();
				if(i != -1) {
					int x = i + n;
					if((0 <= x) && (x < getItemCount())) {
						setSelectedIndex(x);
					}
				}
			}
		}
		this.addMouseWheelListener(new Listener());
	}

}