class myForm(Form):
    myChoices = [
        ('0','Select an option <span class="caret"></span>'),
        ('1','Option 1'),
        ('2','Option 2')
    ]
    optionSelect = SelectField('Select', choices=myChoices, validators=[Required()])

from jinja2 import Markup

('0', Markup('Select an option <span class="caret"></span>')),