I combine the two best answers into a great answer.
var outputConcatenation = [];
$.each(selectValues, function(i, item) {
outputConcatenation.push($("<option></option>").attr("value", item.key).attr("data-customdata", item.customdata).text(item.text).prop("outerHTML"));
});
$("#myselect").html(outputConcatenation.join(''));