Establecer el resultado de la consulta MySQL en un JComboBox

Puedes usar el siguiente código:

JComboBox cmb = your-combo;
ResultSet rs = your-Result-set; 
while(rs.next()) {
    String result = rs.getString(1); // Retrieves the value of the designated column in the current row of this ResultSet object as a String
    if (result != null) {
        result = result.trim();
    }
    cmb.addItem(result);
} 
rs.close();