The Bomb Arrow is a recurring item in The Legend of Zelda series. It has appeared in Link's Awakening, Twilight Princess, and Breath of the Wild. They are what Link gets when he combines his Bombs and his Arrows together.
In Link's Awakening, Link can use a Bomb Arrow by placing Bombs in one item slot and Arrows in the other. Pressing both buttons at the same time will result in Link firing off a Bomb Arrow. They are not required to complete the game.
Bomb Arrows in Twilight Princess are equipped by placing Link's Hero's Bow in any item slot and then opening up his Item Selection Screen and pressing the Z-button when highlighting a Bomb Bag. These explosive projectiles are great for defeating a herd of faraway enemies and blowing up faraway rocks. They are required to complete the game and to get some Heart Pieces. They also still blow up if Link holds them too long.
Breath of the Wild
These Bomb Arrows aren't a combination; this time they are their own item. They work in a very similar way to previous renditions, exploding on target, except they will not work in the rain. They are rarely found in chests across the overworld or as a drop from certain enemies.
Hyrule Compendium entry of the Bomb Arrow.