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Use the JComboBox.insertItemAt(Object,0); method.

You can add the new blank item at runtime, as well as the items from the database.

Wait, so you just want an option in the JComboBox that you can use to indicate that nothing has been selected? Just add a blank option as the first in the JComboBox and check if that item is...

Wait, can you even "not select" an item in a JComboBox? Isn't the first item selected, by default, when the JComboBox gets created?