You can include commas if the range is drawn from
worksheet cells. For example, suppose C2=Phil, Don
C3=Sally,Mary C4=Jim, Jane
The following sub creates a Data...Validation...List in
the active cell with three items, each including an
embedded comma:

Sub ValidateMe()
ActiveCell.Validation.Add Type:=xlValidateList,
Formula1:="=$C$2:$C$4"
End Sub