Adding style_formats to wysiwyg settings.

hook_wysiwyg_editor_settings_alter.php

/**
 * Implements hook_wysiwyg_editor_settings_alter().
 */
function hook_wysiwyg_editor_settings_alter(&$settings, $context) {
  if ($context['profile']->editor == 'tinymce') {
    // Add custom styles for the styleselect plugin.
    if (!isset($settings['style_formats'])) {
      $settings['style_formats'] = array();
    }
    $settings['style_formats'][] = array('title' => t('Image left aligned'), 'selector' => 'img', 'classes' => 'image-align-left');
    $settings['style_formats'][] = array('title' => t('Image right aligned'), 'selector' => 'img', 'classes' => 'image-align-right');
    $settings['style_formats'][] = array('title' => t('Image with border'), 'selector' => 'img', 'classes' => 'image-with-border');
    $settings['style_formats'][] = array('title' => t('Link without decoration'), 'selector' => 'a', 'classes' => 'no-styled-link');
    $settings['style_formats'][] = array('title' => t('List without bullets'), 'selector' => 'ul', 'classes' => 'no-bullets');

    // Format filter = 'full_html' specific options.
    if ($context['profile']->format == 'full_html') {
      $settings['style_formats'][] = array('title' => t('Table with border'), 'selector' => 'table', 'classes' => 'table-with-border');
    }

    // Format filter = 'info_process_html' specific options.
    if ($context['profile']->format == 'info_process_html') {
      $settings['style_formats'][] = array('title' => t('Table without border'), 'selector' => 'table', 'classes' => 'table-without-border');
    }

    // Remove default css classes from dropdown list.
    $settings['table_styles'] = ' ';
  }
}