The code below creates a single QComboBox. The combo's QStandardItems are set with  data_obj using setData method. Changing combo's current index triggers run method which iterates combo' and prints the data_obj which turns to Python dictionary. How to make the data_obj persistent?
app = QApplication(list())
class DataObj(dict):
    def __init__(self, **kwargs):
        super(DataObj, self).__init__(**kwargs)
class Dialog(QDialog):
    def __init__(self, parent=None):
        super(Dialog, self).__init__(parent)
        self.setLayout(QVBoxLayout())
        self.combo = QComboBox(self)
        for i in range(5):
            combo_item = QStandardItem('item_%s' % i)
            data_obj = DataObj(foo=i)
            print '..out: %s' % type(data_obj)
            combo_item.setData(data_obj, Qt.UserRole + 1)
            self.combo.model().appendRow(combo_item)
        self.combo.currentIndexChanged.connect(self.run)
        self.layout().addWidget(self.combo)
    def run(self):
        for i in range(self.combo.count()):
            item = self.combo.model().item(i, 0)
            data_obj = item.data(Qt.UserRole + 1)
            print ' ...in: %s' % type(data_obj)
if __name__ == '__main__':
    gui = Dialog()
    gui.resize(400, 100)
    gui.show()
    qApp.exec_()

 
                        
Below is the working solution to this problem: