'hook_field_widget_form_alter' but for markup I have content type which has term reference as a field.
I want add some html attributes to each option in select on form (when adding new node of that content type).

'hook_field_widget_form_alter' is right place for custom code but not for HTML markup. How I can change display of this select?
Attributes on the option tags aren't themeable unfortunately, many of the standard form elements in Drupal are this way. You can theme the wrappers to your hearts content, but the elements themselves are quite locked down.

If it is absolutely necessary to do this you may need to find a way of doing it outside the form API.

You could use the #post_render on the FAPI options for it to do some manual rewriting of the output markup using regex and whatnot. Not very efficient but probably quicker than writing something from scratch!

The function that handles this is in the includes/form.inc file form_select_options. I really wouldn't condone editing it, but it is handy for reference.