This is something I fixed ages ago in the OU theme, and we really ought to do the same in the standard Moodle Themes.
Most themes have an editor.css file, which is used to style the content inside TinyMCE. In an ideal world, this would contain all the basic CSS that the theme uses for common bits of HTML like headings, paragraphs and lists, etc. so that what you type in the editor looks exactly like it will look for real.
It is a relatively simple but boring job to do that for all the standard themes. I am afraid I am not volunteering to do it myself, at least not now. I just thought I woudl highlight it here in the hope of inspiring someone else to do it.