Options (choices) for a select field to not support data attributes, or any attributes for that matter. I’m assuming that you want to be able to use them is some type of JavaScript that you’re planning.
As a work around you could do something like
$field['choices'][$item->ID] = '<span data-attr="some data">'.$item->data->display_name.'</span>';
and then in your JS you can retrieve the data from the label rather than the option.
