Add image to programatically created Option?

I’m creating some Options, like this:

var newOption = new Option("whatever the value", "test", false, false);
('#mySelect2').append(newOption).trigger('change');

That creates this:

<select id="mySelect2" multiple="multiple">
	<option value="test">whatever the value</option>
</select>

But I’d like to have an image next to each item in the select. Any tips on creating options with images, programatically? I don’t see anyting about it in the manual.