add custom markup on a specific element/filter in a exposed filter (views)
You can override the twig template responsible for that particular HTML output. You already see debug hints so you can see which template to check out. 

Then copy that template to your subtheme and edit it there. Don't edit the core Drupal theme to avoid messing up your project maintainability. 

Working With Twig Templates

You might be after select.html.twig and function template_preprocess_select.