How to add custom option to wp_dropdown_categories?

You can do like this

  add_filter( 'wp_dropdown_cats', 'add_yet_another_option', 10, 2 );

  function add_yet_another_option( $output, $r ){
    $output = str_replace( '</select>','',$output ); // remove closing select tag
    $output .= '<option class="level-0" value="some-value"> Some Custom Options </option>'; // custom option. 
    $output .= '</select>'; // add closing select tag
    return $output;
  }

But why would someone put custom option on the category dropdown ?