Technically Option tag is used only for Content Text, So it is not possible to use FontAwesome Icon directly into a Select Option.
However, FontAwesome is a Unicode font based icon-set, and so it is possible to include an icon in an option, or a select list, simply by referencing it’s unicode character [ Which Font-Awesome call it a cheatsheet] directly.
Simple use same code as it, and just change unicode as you wish from FontAwesome link provided above
<select class="form-control" style="font-family:'FontAwesome', Arial;">
<option value="1"> Positive</option>
<option value="0"> Negative</option>