How to theme each field of exposed filter from Views?
You can try to catch it with hook_form_alter(): $form_id is views_exposed_form, and $form contains all the values.

$form['field_custom']['#options'] = array(
  'group1' =&gt; array('key11' =&gt; 'value11', 'key12' =&gt; 'value12'),
  'group2' =&gt; array('key21' =&gt; 'value21', 'key22' =&gt; 'value22' ),
);