I have been trying to add a pickist in standard Lighting Datatable for a while as picklist type is not supported in Lighting Datatable and I needed it in one of my projects.
Out of curiosity, I spent some time investigating on how standard Lightning components can be extended. With some research, I found that LWC standards components can be easily extended as most of them provide interfaces which enables you to write extra logic on top of existing functionality.
By going through couple of articles on forums, I am able to extend the standard Lightning Datatable with my new custom data table which holds this new extra picklist type as well.
Full code with example can be found on this link Picklist in Lightning Datatable - Playground. This link has all technical details along with its usage