Thread: Custom JObject (Cross between JTextField and JComboBox)

The first answer on this topic might provide you with some inspiration: swing - Create a autocompleting textbox in Java with a dropdown list - Stack Overflow
Extending JTextField is probably what you want to do. If you do what the person in the other thread did (making the custom class for the drop down which renders alongside the text field), you can probably achieve what you want.

I've made a few custom swing objects, but nothing like that. My custom swing objects have been replacements for the JTable and JList, where I render objects instead of values (such as adding an object to a table and having the row populate itself with values automatically retrieved from the object).

A JComboBox can be set to editable, allowing a user to interact just like a JTextField (in fact, the underlying editing component is a JTextField). From there, you need to get the editing component and listen for changes to the underlying document (by say, adding a DocumentListener). When a change occurs, modify the items within the JComboBox accordingly. Its not necessarily trivial (I've done it myself and it needed some hacks to get around default behaviors) and you'd need to dig deep into the API to implement this behavior.