Thanks to the answer from the S. Nick I got an acceptable working version, using the .setStyleSheet() in the main (I don't know why it works exactly like that...)

New code:

    import sys
    from PyQt5.QtWidgets import QApplication, QMainWindow, QComboBox, QVBoxLayout, QWidget
    
    
    class MainWindow(QMainWindow):
        def __init__(self):
            super().__init__()
            self.setWindowTitle("QComboBox Demo")
            self.setGeometry(100, 100, 300, 200)
    
            central_widget = QWidget()
            self.setCentralWidget(central_widget)
            layout = QVBoxLayout(central_widget)
    
            formats = [
                "BMP", "Iris", "PNG", "JPEG", "JPEG 2000", "Targa", "Targa Raw"
            ]
    
            combo_box = QComboBox()
            combo_box.addItems(formats)
            combo_box.setCurrentIndex(-1)
    
            layout.addWidget(combo_box)
            layout.addStretch()
    
    
    if __name__ == "__main__":
        style_sheet = """
                        QWidget {
                            background-color: #404040;
                            color: #e6e6e6;
                            margin: 0px;
                        }
                        QComboBox {
                            background-color: #2c2c2c;
                            border: 1px solid #404040;
                            color: #d0d0d0;
                            padding: 4px 6px;
                            border-radius: 4px;
                            margin: 0px;
                        }
                        QComboBox:disabled {
                            background-color: #323232;
                            color: #8a8a8a;
                        }
                        QComboBox::down-arrow {
                            background-color: #2c2c2c;
                            image: url('images/QComboBox_down_arrow.png');
                        }
                        QComboBox::down-arrow:on {
                            background-color: #5680c2;
                        }
                        QComboBox::drop-down {
                            background-color: #202020;
                            border: none;
                            width: 20px;
                        }
                        QComboBox:on {
                            background-color: #5680c2;
                            color: #f8f9f9;
                        }
                        QComboBox QAbstractItemView {
                            background-color: #232323;
                            border: 1px solid #404040;
                            color: #d0d0d0;
                            border-radius: 4px;
                            margin: 0px;
                            padding: 2px;
                            min-width: 100px;
                            selection-background-color: #5680c2;
                        }
                        """
    
        app = QApplication(sys.argv + ['-platform', 'windows:darkmode=1'])
    
        app.setStyleSheet(style_sheet)
    
        app.setStyle('Fusion')
    
        window = MainWindow()
        window.show()
        sys.exit(app.exec_())