The default implementation of a ComboBox is to use the ItemSource as the source of a list of items and the DisplayMemberPath as the name of a property to use for a TextBlock.Text value. Therefore it looks at your "Image" property and does a .ToString() to convert it for the TextBlocks in the list.
Instead you need to implement a ComboBoxItem Control Template, to describe the elements in each displayed item (text, images, whatever). Those controls will themselves contain bindings to the properties on your objects. e.g:
<Image Source={Binding Image}/>
As Muad'Dib pointed out (30 seconds earlier), the Image must be a string that is the path of the image, not an actual image object.