I needed to be able to display an icon along with text in a select list. Fortunately the icons I needed were available in the Font Awesome library that comes with APEX and after much trial and error and research I was able to come up with a solution.
The key to this solution is locating the unicode for the icon you want to use and adding an escape function to your select list sql. Below is my list of values query:
A cheatsheet for the Font Awesome can be found here https://fontawesome.com/cheatsheet. I found when playing around not all icons will work with this method so YMMV.
In addition you will need to set some Custom Attributes under the Advanced properties for your select list column:
I implemented this solution in version 5.1.4. When I tried to create a demo app in 18.2 it unfortunately did not work.
Planet of the APEX 