I'm going to use an example that the values in the drop-down list are colors, and the DataGridView has a list of t-shirts in your closet.
Have you tried inserting the invalid color into the list object that is bound to the ComboBox column? Perhaps you can insert something into the list whose key matches your invalid color but shows "(Invalid)" (or other similar text). You'd have to respond to the CellValidating event if someone were to try and choose it after your initial binding.
If the invalid colors come by altering a lookup somewhere else in the application so that the DataGridView's values (the t-shirts) are no longer valid, you have some options. Perhaps you could change that logic to look up the data that goes to the list of t-shirts and see if there are any existing t-shirts with that color -- then prompt the user to say "You have deactivated Red, but you have Red T-shirts; what do you want to do?" You could stop deactivating Red, change the T-shirts, or delete the T-shirts.
If the invalid colors come from a source you don't control, you could prompt the user when they try to look at the list of t-shirts, "Red is no longer a valid color for T-shirts, what do we do with the Red t-shirts?"
We have a similar constraint in our application. We dropped the combo boxes and use CellValidating instead.