You will have to modify the view's XSLT. To extract source files (including the XSLT) from your InfoPath form template, go to Form->Publish->Extract Source Files. Specify a folder. Now you can go into your view's XSLT file (typically View1.xslt), find the dropdown and use xpath concat command to create a composite dropdown.
I believe Greg Collins has a sample that does this - search for "dropdown concat manual XSLT edit" or something like that. It's not hard to do and this should not require an xdPreserve block (used to prevent InfoPath designer from not round-tripping the manual edits). In other words, you should be able to round-trip it using the InfoPath Designer.
I know this topic has been discussed in this forum before so please search for it. If you can't find it, let us know.