Hi malar,
Check this example. Now please take its reference and correct your code.
Database
For this example I have used of Northwind database that you can download using the link given below.
Download Northwind Database
Model
public class Customer
{
    public string CustomerID { get; set; }
    public string ContactName { get; set; }
    public string City { get; set; }
    public string Country { get; set; }
}
Controller
public class HomeController : Controller
{
    public ActionResult Index()
    {
        return View();
    }
    [HttpPost]
    public ActionResult AjaxMethod()
    {
        NorthwindEntities entity = new NorthwindEntities();
        List<Customer> customers = entity.Customers.ToList();
        List<SelectListItem> countries = entity.Customers.Select(x => new SelectListItem { Text = x.Country, Value = x.Country }).Distinct().ToList();
        object[] data = new object[] { customers, countries };
        return Json(JsonConvert.SerializeObject(data));
    }
}
View
@{
    Layout = null;
}
<!DOCTYPE html>
<html>
<head>
    <meta name="viewport" content="width=device-width" />
    <title>Index</title>
</head>
<body>
    <div class="container">
        Name: <input type="text" id="txtSearch" />
        <table id="tblCustomers" class="table">
            <thead>
                <tr>
                    <th>Customer Id</th>
                    <th>Name</th>
                    <th>City</th>
                    <th>Country</th>
                </tr>
            </thead>
            <tbody></tbody>
        </table>
    </div>
    <script type="text/javascript" src="https://ajax.googleapis.com/ajax/libs/jquery/1.8.3/jquery.min.js"></script>
    <script type="text/javascript" src="https://cdn.datatables.net/1.10.20/js/jquery.dataTables.min.js"></script>
    <link href="https://cdn.datatables.net/1.10.20/css/jquery.dataTables.css" rel="stylesheet" type="text/css" />
    <link rel="stylesheet" href="https://maxcdn.bootstrapcdn.com/bootstrap/3.3.2/css/bootstrap.min.css" />
    <link rel="stylesheet" href="https://cdnjs.cloudflare.com/ajax/libs/font-awesome/4.7.0/css/font-awesome.min.css" />
    <script type="text/javascript">
        $(function () {
            var oTable;
            $.ajax({
                type: "POST",
                url: "/Home/AjaxMethod",
                data: '{}',
                contentType: "application/json; charset=utf-8",
                dataType: "json",
                success: function (response) {
                    var datas = eval(response);
                    oTable = $("#tblCustomers").DataTable({
                        bLengthChange: true,
                        lengthMenu: [[5, 10, -1], [5, 10, "All"]],
                        bFilter: true,
                        bSort: true,
                        bPaginate: true,
                        data: datas[0],
                        columns: [
                            { 'data': 'CustomerID', 'searchable': false },
                            { 'data': 'ContactName' },
                            { 'data': 'City' },
                            {
                                'data': 'Country', 'searchable': false,
                                render: function (data, type, row, meta) {
                                    var country = data.toLowerCase();
                                    var countries = $("<select></select>");
                                    $.each(datas[1], function (i, item) {
                                        var option = $("<option />");
                                        option.html(this.Text);
                                        option.val(this.Value);
                                        if (this.Text.toLowerCase() == country) {
                                            option.attr("selected", "selected")
                                        }
                                        countries.append(option);
                                    });
                                    return countries[0].outerHTML;
                                }
                            }
                        ],
                        fnRowCallback: function (nRow, aData, iDisplayIndex, iDisplayIndexFull) {
                            if (aData.Country == "Mexico") {
                                $('td', nRow).css('background-color', '#D2D2D2');
                            } else {
                                $('td', nRow).css('background-color', 'Orange');
                            }
                        }
                    });
                },
                failure: function (response) {
                    alert(response.responseText);
                },
                error: function (response) {
                    alert(response.responseText);
                }
            });
            $('#txtSearch').keyup(function () {
                oTable.search($(this).val()).draw();
            })
        });
    </script>
</body>
</html>
Screenshot
