Well ... The changed event means just what it's called, that the selection has changed.
I suggest trying to listen to the popdown signal, which I believe is emitted when the menu closes.
If that doesn't work, perhaps notify::popup-shown can work. The ComboBox has a property called popup-shown, so listening to notifications when that property changes, and then checking if it's a transition from TRUE to FALSE, should help:
combo.connect("notify::popup-shown", popup_shown_callback)
In the callback, you can access the property value like this (assuming PyGTK 2.8 or later):
print "mycombo's popup-shown property is:", mycombo.props.popup_shown
I'm not 100% sure that the dash is mapped into an underscore; you will have to test this.