<DataGridTemplateColumn.HeaderTemplate>
                                <DataTemplate>
                                    <StackPanel>
                                        <ComboBox x:Name="cmbCol1"  ItemsSource="{Binding cmbname}"  HorizontalAlignment="Left" VerticalAlignment="Top" Width="90" />
                                    </StackPanel>
                                </DataTemplate>
                            </DataGridTemplateColumn.HeaderTemplate>

    string[] cmbname = ConfigurationManager.AppSettings["cmbcol"].Split(',');

<appSettings>
    <add key="cmbcol" value="Vehicle_Number,Name,Address,Mobile,Engine_Number,Chassis_Number,Model,Colour,Circle,Date" />
</appSettings>