You can't use another tag inside options tag. But you can do something like:
<select>
<option>¹</option>
<option>²</option>
<option>³</option>
</select>
This &sub1, &sub2, &sub3 is only possible for 1, 2 and 3.
You can write other numbers using codes from here: Superscript Chart
Or you can use this website to get the unicodes of alphabets: Unicode Character Search